Identifying Threshold Effects in Credit Risk Stress Testing /

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded self-correcting a...

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Bibliografski detalji
Glavni autor: Mendez Morales, Armando
Daljnji autori: Gasha, Jose
Format: Žurnal
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2004.
Serija:IMF Working Papers; Working Paper ; No. 2004/150
Online pristup:Full text available on IMF

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