A Simple Early Warning System for Evaluating the Credit Portfolio's Quality
The last decade has witnessed the development of a vast literature devoted to the study of several phenomena like banking crises or episodes of vulnerability and distress, characterized by inadequate capitalization, impairment of the asset quality and of the credit institutions' rating. The pur...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2009-05-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: | http://www.ectap.ro/articole/388.pdf |
| _version_ | 1811344385141374976 |
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| author | Nicolae Dardac Iustina Alina Boitan |
| author_facet | Nicolae Dardac Iustina Alina Boitan |
| author_sort | Nicolae Dardac |
| collection | DOAJ |
| description | The last decade has witnessed the development of a vast literature devoted to the study of several phenomena like banking crises or episodes of vulnerability and distress, characterized by inadequate capitalization, impairment of the asset quality and of the credit institutions' rating. The purpose of this study is to design an early warning system in order to highlight at an earlier stage the likelihood of deterioration of the Romanian banking system credit portfolio's quality. We have applied an econometric model which constitutes a reference for this type of analysis, having as purpose the identification of a significant correlation between increasing weight of bad loans in total assets, on the one hand, and a number of macroeconomic variables and indicators of the banking system, on the other hand. |
| first_indexed | 2024-04-13T19:46:30Z |
| format | Article |
| id | doaj.art-95f57f5d366d400d8627bf21f941a389 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 |
| language | English |
| last_indexed | 2024-04-13T19:46:30Z |
| publishDate | 2009-05-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-95f57f5d366d400d8627bf21f941a3892022-12-22T02:32:43ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86782009-05-0105(534)05(534)6978A Simple Early Warning System for Evaluating the Credit Portfolio's QualityNicolae DardacIustina Alina BoitanThe last decade has witnessed the development of a vast literature devoted to the study of several phenomena like banking crises or episodes of vulnerability and distress, characterized by inadequate capitalization, impairment of the asset quality and of the credit institutions' rating. The purpose of this study is to design an early warning system in order to highlight at an earlier stage the likelihood of deterioration of the Romanian banking system credit portfolio's quality. We have applied an econometric model which constitutes a reference for this type of analysis, having as purpose the identification of a significant correlation between increasing weight of bad loans in total assets, on the one hand, and a number of macroeconomic variables and indicators of the banking system, on the other hand.http://www.ectap.ro/articole/388.pdfearly warning systemlogistic regressionprobability of deterioration of the loans portfoliogoodness-of-fit testspredictive ability. |
| spellingShingle | Nicolae Dardac Iustina Alina Boitan A Simple Early Warning System for Evaluating the Credit Portfolio's Quality Theoretical and Applied Economics early warning system logistic regression probability of deterioration of the loans portfolio goodness-of-fit tests predictive ability. |
| title | A Simple Early Warning System for Evaluating the Credit Portfolio's Quality |
| title_full | A Simple Early Warning System for Evaluating the Credit Portfolio's Quality |
| title_fullStr | A Simple Early Warning System for Evaluating the Credit Portfolio's Quality |
| title_full_unstemmed | A Simple Early Warning System for Evaluating the Credit Portfolio's Quality |
| title_short | A Simple Early Warning System for Evaluating the Credit Portfolio's Quality |
| title_sort | simple early warning system for evaluating the credit portfolio s quality |
| topic | early warning system logistic regression probability of deterioration of the loans portfolio goodness-of-fit tests predictive ability. |
| url | http://www.ectap.ro/articole/388.pdf |
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