Development of an Early Warning System for Evaluating the Credit Portfolio's Quality. A Case Study on Romania

Iustina Boitan

Prague Economic Papers, 2012, vol. 2012, issue 3, 347-362

Abstract: The current financial crisis has boosted the efforts of international financial institutions to strengthen collaboration in the field of banking supervision, with a particular focus on macro prudential supervision. One of the stated objectives is the creation of a warning system, in which economic and financial vulnerabilities at the regional level will be coupled with the potential for spillovers or contagion between markets and countries. The aim of this study is to design an early warning system in order to highlight, at an earlier stage, the likelihood of deterioration of the Romanian banking system credit portfolio's quality. The paper focuses on the relationship between several macroeconomic and bank-specific variables and overdue and doubtful loans. The warning system developed will be used further to made predictions on the degree of credit portfolio impairment, under the auspices of the actual financial crisis.

Keywords: early warning system; logistic regression; probability of deterioration of the loan portfolio; goodness-of-fit tests; predictive ability (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.18267/j.pep.428

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