 Loans Size and Portfolio Loss Predictability in ArgentinaEnsayos Económicos, 2007, vol. 1, issue 49, 139-155 Abstract: The main purpose of our work is to construct portfolio loss distributions of small and large loans in Argentina using bootstrapping techniques. Annual data (covering the 1999-2005 period) from the Debtors Register of the Central Bank of Argentina over 580.000 records have been used. The work has found that, if compared to large loan portfolios, portfolio loss distributions of small loans are more symmetrical, concentrate mainly around the mean and are more stable over time. Likewise, they have higher expected losses until 2002 but a lower average from there onwards. Especially interesting for our analysis is the fact that small loan portfolios seem to generate lower unexpected losses. In turn, the expected loss exhibits a strong counter-cyclical performance in both subsets after the 2002 crisis, unlike what happened in the previous period. On the contrary, unexpected losses remain at a stable level during the crisis in the case of small loan portfolios, but increase dramatically in the case of large loan portfolios. Our analysis provides some relevant implications for policy-making. Keywords: Argentina; banks; bootstraping; capital requirements; loans; loss distribution function; small and medium enterprises (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bcr:ensayo:v:1:y:2007:i:49:p:139-155 Access Statistics for this article Ensayos Económicos is currently edited by Germán Feldman More articles in Ensayos Económicos from Central Bank of Argentina, Economic Research Department Contact information at EDIRC. |
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