ANALYSIS MODEL ON THE RELATION BETWEEN MACROECONOMICAL VARIABLE TENDENCIES AND COMERCIAL BANK’S CREDIT RISK

Ioan Trenca and Benyovszki Anamaria
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Benyovszki Anamaria: „Babes-Bolyai” University Cluj-Napoca, Faculty of Economics and Business Administration
Authors registered in the RePEc Author Service: Annamária Dézsi-Benyovszki ()

Annals of Faculty of Economics, 2009, vol. 3, issue 1, 682-689

Abstract: The main goal of this study is to apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2008:2. Using the modeled and

Keywords: credit risk; industry-specific default rate; credit portfolio loss distribution (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:3:y:2009:i:1:p:682-689

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