Consumer Banking and Credit Risk
Following Jara and Oda (2007), we consider a group of Chilean banks specializing in consumer loans. Taking the dynamics of the group as a whole, we propose a credit risk model that is based on loan loss provisions. Using accounting ratios, we show that a model for this purpose is dynamic and highly non-linear. Our empirical results show that the banking aggregates loan loss provisions, write-offs, and total loans can be modelled for this group of banks using a small number of macroeconomics variables. Actually, we conclude that the output gap is a strong factor in the model, and that the model performs well when only this external factor is considered.
Volume (Year): 12 (2009)
Issue (Month): 3 (December)
|Contact details of provider:|| Postal: Casilla No967, Santiago|
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:chb:bcchec:v:12:y:2009:i:3:p:59-77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda)
If references are entirely missing, you can add them using this form.