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Development of an Early Warning System for Evaluating the Credit Portfolio´s Quality. A Case Study on Romania

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  • Iustina Boitan

Abstract

The current financial crisis has boosted the efforts of international financial institutions to strengthen collaboration in the field of banking supervision, with a particular focus on macro prudential supervision. One of the stated objectives is the creation of a warning system, in which economic and financial vulnerabilities at the regional level will be coupled with the potential for spillovers or contagion between markets and countries. The aim 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. The paper focuses on the relationship between several macroeconomic and bank-specific variables and overdue and doubtful loans. The warning system developed will be used further to made predictions on the degree of credit portfolio impairment, under the auspices of the actual financial crisis.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal Prague Economic Papers.

Volume (Year): 2012 (2012)
Issue (Month): 3 ()
Pages: 347-362

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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:3:id:428:p:347-362

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Related research

Keywords: probability of deterioration of the loan portfolio; predictive ability; logistic regression; goodness-of-fit tests; early warning system;

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  1. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
  2. Michael Hutchison & Kathleen McDill, 1999. "Are All Banking Crises Alike? The Japanese Experience in International Comparison," NBER Working Papers 7253, National Bureau of Economic Research, Inc.
  3. Hali J. Edison, 2000. "Do indicators of financial crises work? an evaluation of an early warning system," International Finance Discussion Papers 675, Board of Governors of the Federal Reserve System (U.S.).
  4. Liliana Rojas-Suarez, 2001. "Can International Capital Standards Strengthen Banks in Emerging Markets?," Working Paper Series WP01-10, Peterson Institute for International Economics.
  5. Barrell, Ray & Davis, E. Philip & Karim, Dilruba & Liadze, Iana, 2010. "Bank regulation, property prices and early warning systems for banking crises in OECD countries," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2255-2264, September.
  6. Asli Demirgüç-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
  7. Yap, Josef T., 1998. "Developing an Early Warning System for BOP and Financial Crises: The Case of the Philippines," Discussion Papers DP 1998-40, Philippine Institute for Development Studies.
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