Consumer Banking and Credit Risk

Authors

  • Rodrigo Alfaro
  • Daniel Calvo C.
  • Daniel Oda

Abstract

Following Jara and Oda (2007), we consider a group of Chilean banks specializing in consumer loans. Taking the dynamics of the group as a whole, we propose a credit risk model that is based on loan loss provisions. Using accounting ratios, we show that a model for this purpose is dynamic and highly non-linear. Our empirical results show that the banking aggregates loan loss provisions, write-offs, and total loans can be modelled for this group of banks using a small number of macroeconomics variables. Actually, we conclude that the output gap is a strong factor in the model, and that the model performs well when only this external factor is considered.

 

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Published

26-12-2009

How to Cite

Alfaro, R. ., C., D. C. ., & Oda, D. . (2009). Consumer Banking and Credit Risk. ECONOMÍA CHILENA, 12(3), 59–77. Retrieved from https://xn--economachilena-5lb.cl/index.php/economiachilena/article/view/130

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Section

Articles