Open AccessEconometric model to estimate the Probability of Default and Loss Given Default in the EBA stress test in 2016
Author(s) -
Salvador Climent Serrano
Publication year - 2019
Publication title -
journal of economic science research
Language(s) - English
Resource type - Journals
ISSN - 2630-5240
DOI - 10.30564/jesr.v1i1.334
Subject(s) - default , ordinary least squares , econometrics , stress test , non performing loan , loan , economics , econometric model , test (biology) , a priori and a posteriori , stress testing (software) , actuarial science , computer science , macroeconomics , finance , biology , philosophy , epistemology , programming language , paleontology
In this research, an econometric with panel data using Ordinary least squares OLS model is constructed following the guidelines recommended by the EBA stress test methodology for 2016. The findings indicate that macroeconomic factors affecting defaults are the expected ones in the Spanish credit institutions. However, loan impairments do not follow the patterns that a priori would be normal. Divergent is outcomes in defaults and impairments: the Non-Performing Loans (NPL) is pro-cyclical and impairment losses are counter-cyclical.