Theoretical and Applied Economics
No. 5 / 2009 (534)
A Simple Early Warning System for Evaluating the Credit Portfolio's Quality
Iustina Alina Boitan
Academy of Economic Studies, Bucharest
Abstract. The last decade has witnessed the development of a vast literature devoted to the study of several phenomena like banking crises or episodes of vulnerability and distress, characterized by inadequate capitalization, impairment of the asset quality and of the credit institutions' rating. The purpose of this study is to design an early warning system in order to highlight at an earlier stage the likelihood of deterioration of the Romanian banking system credit portfolio's quality. We have applied an econometric model which constitutes a reference for this type of analysis, having as purpose the identification of a significant correlation between increasing weight of bad loans in total assets, on the one hand, and a number of macroeconomic variables and indicators of the banking system, on the other hand.
Contents
About Crisis. A Short and Joyless Description
Modeling Multivariate Volatility Processes: Theory and Evidence
On the Logically Vivid System
Analysis of Main Economic Factors Influence on Romanian Tourists Number Accommodated in Romania, using Anova Method
A Simple Early Warning System for Evaluating the Credit Portfolio's Quality
The Economic Crisis and its Effects on SMEs