Loans Size and Portfolio Loss Predictability in Argentina
The main purpose of our work is to construct portfolio loss distributions of small and large loans in Argentina using bootstrapping techniques. Annual data (covering the 1999-2005 period) from the Debtors Register of the Central Bank of Argentina over 580.000 records have been used. The work has found that, if compared to large loan portfolios, portfolio loss distributions of small loans are more symmetrical, concentrate mainly around the mean and are more stable over time. Likewise, they have higher expected losses until 2002 but a lower average from there onwards. Especially interesting for our analysis is the fact that small loan portfolios seem to generate lower unexpected losses. In turn, the expected loss exhibits a strong counter-cyclical performance in both subsets after the 2002 crisis, unlike what happened in the previous period. On the contrary, unexpected losses remain at a stable level during the crisis in the case of small loan portfolios, but increase dramatically in the case of large loan portfolios. Our analysis provides some relevant implications for policy-making.
Volume (Year): 1 (2007)
Issue (Month): 49 (October - December)
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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.:
- Verónica Balzarotti & Matías Gutiérrez Girault & Verónica Vallés, 2006. "Credit Scoring Models with Truncated Samples and Their Validation," BCRA Working Paper Series 200604, Central Bank of Argentina, Economic Research Department.
- Giovanni Majnoni & Andrew Powell, 2005. "Reforming Bank Capital Requirements: Implications of Basel II for Latin American Countries," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 105-149, January.
- Peter Burns, 2002. "Retail credit risk modeling and the Basel Capital Accord," Payment Cards Center Discussion Paper 02-01, Federal Reserve Bank of Philadelphia.
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