Development of an Early Warning System for Evaluating the Credit Portfolio´s Quality. A Case Study on Romania
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Economics, Prague in its journal Prague Economic Papers.
Volume (Year): 2012 (2012)
Issue (Month): 3 ()
Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Bussière, Matthieu & Fratzscher, Marcel, 2002. "Towards a new early warning system of financial crises," Working Paper Series 0145, European Central Bank.
- Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003 81, Royal Economic Society.
- 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.
- Hutchison, Michael & McDill, Kathleen, 1999. "Are All Banking Crises Alike? The Japanese Experience in International Comparison," Journal of the Japanese and International Economies, Elsevier, vol. 13(3), pages 155-180, September.
- Hutchison, M. & McDill, K., 1998. "Are All Banking Crises Alike? The Japanese Experience in International Comparison," Papers 99-02, Economisch Institut voor het Midden en Kleinbedrijf-.
- Michael Hutchison & Kathleen McDill, 1999. "Are all banking crises alike? The Japanese experience in international comparison," Pacific Basin Working Paper Series 99-02, Federal Reserve Bank of San Francisco.
- 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.).
- Hali J. Edison, 2003. "Do indicators of financial crises work? An evaluation of an early warning system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 11-53.
- Liliana Rojas-Suarez, 2001.
"Can International Capital Standards Strengthen Banks in Emerging Markets?,"
Working Paper Series
WP01-10, Peterson Institute for International Economics.
- Rojas-Suarez, Liliana, 2002. "Can international capital standards strengthen banks in emerging markets?," Journal of Financial Transformation, Capco Institute, vol. 5, pages 51-63.
- 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.
- Iana Liadze & Ray Barrell & Professor E. Philip Davis, 2009. "Bank Regulation, Property Prices And Early Warning Systems For Banking Crises In Oecd Countries," NIESR Discussion Papers 2201, National Institute of Economic and Social Research.
- Asli DemirgÃ¼Ã§-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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vaclav Subrta).
If references are entirely missing, you can add them using this form.