Consumer Banking and Credit Risk

Rodrigo Alfaro, Daniel Calvo C. and Daniel Oda

Journal Econom a Chilena (The Chilean Economy), 2009, vol. 12, issue 3, 59-77

Abstract: Following Jara and Oda (2007), we consider a group of Chilean banks specializing in consumer loans. Taking the dynamics of the group as a whole, we propose a credit risk model that is based on loan loss provisions. Using accounting ratios, we show that a model for this purpose is dynamic and highly non-linear. Our empirical results show that the banking aggregates loan loss provisions, write-offs, and total loans can be modelled for this group of banks using a small number of macroeconomics variables. Actually, we conclude that the output gap is a strong factor in the model, and that the model performs well when only this external factor is considered.

Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://si2.bcentral.cl/public/pdf/revista-economi ... n3Dic2009pp59_77.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:12:y:2009:i:3:p:59-77

Access Statistics for this article

Journal Econom a Chilena (The Chilean Economy) is currently edited by Sofia Bauducco

More articles in Journal Econom a Chilena (The Chilean Economy) from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Sebastian Antinao ().