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A Simple Early Warning System for Evaluating the Credit Portfolio's Quality

Author

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  • Nicolae Dardac

    (Academy of Economic Studies, Bucharest)

  • Iustina Alina Boitan

    (Academy of Economic Studies, Bucharest)

Abstract

The last decade has witnessed the development of a vast literature devoted to the study of several phenomena like banking crises or episodes of vulnerability and distress, characterized by inadequate capitalization, impairment of the asset quality and of the credit institutions' rating. The purpose of this study is to design an early warning system in order to highlight at an earlier stage the likelihood of deterioration of the Romanian banking system credit portfolio's quality. We have applied an econometric model which constitutes a reference for this type of analysis, having as purpose the identification of a significant correlation between increasing weight of bad loans in total assets, on the one hand, and a number of macroeconomic variables and indicators of the banking system, on the other hand.

Suggested Citation

  • Nicolae Dardac & Iustina Alina Boitan, 2009. "A Simple Early Warning System for Evaluating the Credit Portfolio's Quality," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 5(05(534)), pages 69-78, May.
    • Handle: RePEc:agr:journl:v:05(534):y:2009:i:05(534):p:69-78
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    Cited by:

    1. Dragos Alexandru DIAMESCU, 2015. "Bank Capital Management – The Countercyclical Reserve," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 414-424, November.

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