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Identifying Threshold Effects in Credit Risk Stress Testing

Identifying Threshold Effects in Credit Risk Stress Testing »

Source: Identifying Threshold Effects in Credit Risk Stress Testing

Volume/Issue: 2004/150

Series: IMF Working Papers

Author(s): Armando Méndez Morales , and Jose Gasha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2004

ISBN: 9781451856996

Keywords: business cycle, gdp growth, probability, normal distribution, growth rates,

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). F...

Identifying Threshold Effects in Credit Risk Stress Testing

Identifying Threshold Effects in Credit Risk Stress Testing »

Volume/Issue: 2004/150

Series: IMF Working Papers

Author(s): Armando Méndez Morales , and Jose Gasha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2004

DOI: http://dx.doi.org/10.5089/9781451856996.001

ISBN: 9781451856996

Keywords: business cycle, gdp growth, probability, normal distribution, growth rates,

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). F...

Spillovers to Central America in Light of the Crisis
			: What a Difference a Year Makes

Spillovers to Central America in Light of the Crisis : What a Difference a Year Makes »

Volume/Issue: 2010/35

Series: IMF Working Papers

Author(s): Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

DOI: http://dx.doi.org/10.5089/9781451962765.001

ISBN: 9781451962765

Keywords: real gdp, gdp growth, business cycle, Macroeconomic Aspects of International Trade and Finance: General,

This paper investigates Central America's external linkages over the last fifteen years of increased integration in light of the 2008-09 global recession. Using structural VAR models, it is found that a one percent...

Spillovers to Central America in Light of the Crisis

Spillovers to Central America in Light of the Crisis »

Source: Spillovers to Central America in Light of the Crisis : What a Difference a Year Makes

Volume/Issue: 2010/35

Series: IMF Working Papers

Author(s): Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962765

Keywords: real gdp, gdp growth, business cycle, Macroeconomic Aspects of International Trade and Finance: General,

This paper investigates Central America's external linkages over the last fifteen years of increased integration in light of the 2008-09 global recession. Using structural VAR models, it is found that a one percent...