Using Nonperforming Loan Ratios to Compute Loan Default Rates With Evidence From European Banking Sectors
This research is the first attempt to calibrate default rates of loan portfolios using raw data on nonperforming loans and some additional information on the maturity structure of the loan portfolios. We applied a simple model of loan quality, controlling for loan maturities and dynamics of loan sup...
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| Format: | Article |
| Language: | English |
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SGH Warsaw School of Economics, Collegium of Economic Analysis
2016-06-01
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| Series: | Econometric Research in Finance |
| Online Access: | https://erfin.org/journal/index.php/erfin/article/view/3 |