- Tytuł:
- Measuring Non-Performing Loans During (and After) Credit Booms
- Autorzy:
- Serwa, Dobromił
- Powiązania:
- https://bibliotekanauki.pl/articles/483301.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
non-performing loan ratio
credit boom
housing loans - Opis:
- In this study we evaluate the distortion of the ratio of non-performing loans (NPL) caused by rapid credit growth to show that the bias in this ratio (caused by the prolonged credit boom) may indeed be significant. Next, we discuss an adjustment to the NPL ratio based on a theoretical model of a loan portfolio. This adjustment is robust for credit booms and busts; therefore, it can be used to compare credit quality ratios across distinct portfolios and banks as well as to simulate future NPL ratio developments. Our estimates of the portfolio of housing loans in Poland show that the new adjusted index of non-performing loans is robust to different model specifications.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 3; 163-183
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł