Measuring Non-Performing Loans During (and After) Credit Booms

• Autorzy: Dobromił Serwa
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Credit risk modelling; Credit portfolio; Loans

PL

Modelowanie ryzyka kredytowego; Portfel kredytowy; Pożyczki

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2013
• Tom: 5
• Numer: nr 3
• Strony: 163--183

Twórcy

autor

Dobromił Serwa

• National Bank of Poland; Warsaw School of Economics

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2013.119259