Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador /

We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. Ho...

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Detalhes bibliográficos
Autor principal: Grigoli, Francesco
Outros Autores: Mansilla, Mario, Saldias, Martin
Formato: Periódico
Idioma:English
Publicado em: Washington, D.C. : International Monetary Fund, 2016.
coleção:IMF Working Papers; Working Paper ; No. 2016/236
Acesso em linha:Full text available on IMF