Dynamic Loan Loss Provisions in Uruguay : Properties, Shock Absorption Capacity and Simulations Using Alternative Formulas »
Series: IMF Working Papers
Author(s): Torsten Wezel
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2010
Keywords: Dynamic Provisioning, Procyclicality, correlation, bond, financial stability, bond index, correlations, Financial Institutions and Services: Government Policy and Regulation,
This paper assesses the merits of countercyclical loan loss provisioning in Uruguay. Using a stress test methodology, it quantifies the protection against macroeconomic shocks provided by the stock of dynamic provi...