Econometric Model to Estimate the Probability of Default and Loss Given Default in the EBA Stress Test in 2016  

作　　者：Salvador Climent-Serrano 

机构地区：[1]Department of Financial and Actuarial Economics,University of Valencia,Spain

出　　处：《Journal of Economic Science Research》2018年第1期11-16,共6页经济科学研究（英文）

摘　　要：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.

关 键 词：NPL DELINQUENCY Impairment losses Spanish banks Late payment Probability of default(PD) Loss given default(LGD) 

分 类 号：TQ3[化学工程]