Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk

Zedginidze Zviad ()

EERC Working Paper Series from EERC Research Network, Russia and CIS

Abstract: The following study develops a dynamic credit risk model for the Georgian banking portfolio and investigates the effects that macroeconomic (systemic) factors have on credit risk. A SUR model is estimated for the Non-Performing Loan ratio in seven sectors as a function of a lagged dependent variable, macroeconomic factors, and lagged contagion effects. Based on the estimation results, I discuss the impact of macroeconomic factors (such as GDP growth and exchange rate depreciation) on sector-specific credit risk. Given the estimated model, I further conduct stochastic simulations to analyze the expected losses under two hypothetical scenarios: a shock to real GDP gap and a shock to FX rate depreciation. Based on the assumptions on loss-given default and exposure at default, I find a significant impact of systemic shocks on the aggregate credit risk, but this impact varies across different sectors.

JEL-codes: C32 E32 E37 E44 G21 (search for similar items in EconPapers)
Date: 2012-04-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eercnetwork.com/default/download/creater/w ... 95c48d45de63775b.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:eer:wpalle:12/07e

Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
https://eercnetwork.com/paper

Access Statistics for this paper

More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().