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Analysis Model On The Relation Between Macroeconomical Variable Tendencies And Comercial Bank’S Credit Risk

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  • Trenca Ioan

    ()
    („Babes-Bolyai” University Cluj-Napoca, Faculty of Economics and Business Administration)

  • Benyovszki Anamaria

    („Babes-Bolyai” University Cluj-Napoca, Faculty of Economics and Business Administration)

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

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File URL: http://steconomice.uoradea.ro/anale/volume/2009/v3-finances-banks-and-accountancy/115.pdf
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Bibliographic Info

Article provided by University of Oradea, Faculty of Economics in its journal The Journal of the Faculty of Economics - Economic.

Volume (Year): 3 (2009)
Issue (Month): 1 (May)
Pages: 682-689

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Handle: RePEc:ora:journl:v:3:y:2009:i:1:p:682-689

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Keywords: credit risk; industry-specific default rate; credit portfolio loss distribution;

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  1. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
  2. Laeven, Luc & Majnoni, Giovanni, 2003. "Loan loss provisioning and economic slowdowns: too much, too late?," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 178-197, April.
  3. Bikker, J.A. & Metzemakers, P.A.J., 2005. "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 141-157, April.
  4. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
  5. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2005. "Exploring Interactions between Real Activity and the Financial Stance," Working Paper Series 184, Sveriges Riksbank (Central Bank of Sweden).
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