Credit risk stress testing : an exercise for colombian banks

In this paper we seek to assess the ability of banks to withstand the effects of an increase in credit risk as a result of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of four macroeconomic variables commonly used in the literatu...

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Detalles Bibliográficos
Autores Principales: Cabrera-Rodríguez, Wilmar Alexander, Gutiérrez-Rueda, Javier, Mendoza-Gutiérrez, Juan Carlos
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Banco de la República de Colombia 2012
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/2135

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