학술논문
Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay
Document Type
redif-paper
Author
Source
Banco Central del Uruguay, Documentos de trabajo.
Subject
Language
English
Abstract
This paper deals with credit risk in the Uruguayan aggregate economy and therefore correspond to financial stability purposes. To analyze the risk associated with a portfolio of loans a nonlinear parametric model based on Merton's approach is used. "Elasticities" of impact of the relevant macroeconomic factor on credit risk are reported for commercial and households lending, both in local currency and dollars. The coefficients are obtained by the statistical technique of maximum likelihood