Prague Economic Papers 2012, 21(3):347-362 | DOI: 10.18267/j.pep.428

Development of an Early Warning System for Evaluating the Credit Portfolio's Quality. A Case Study on Romania

Iustina Boitan
Faculty of Finance, Insurance, Banking and Stock Exchanges, The Bucharest University of Economic Studies, Romania (iustinaboitan@yahoo.com).

The current financial crisis has boosted the efforts of international financial institutions to strengthen collaboration in the field of banking supervision, with a particular focus on macro prudential supervision. One of the stated objectives is the creation of a warning system, in which economic and financial vulnerabilities at the regional level will be coupled with the potential for spillovers or contagion between markets and countries. The aim 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. The paper focuses on the relationship between several macroeconomic and bank-specific variables and overdue and doubtful loans. The warning system developed will be used further to made predictions on the degree of credit portfolio impairment, under the auspices of the actual financial crisis.

Klíčová slova: early warning system, logistic regression, probability of deterioration of the loan portfolio, goodness-of-fit tests, predictive ability
JEL classification: G01, G21

Zveřejněno: 1. leden 2012  Zobrazit citaci

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Boitan, I. (2012). Development of an Early Warning System for Evaluating the Credit Portfolio's Quality. A Case Study on Romania. Prague Economic Papers, 21(3), 347-362. doi: 10.18267/j.pep.428
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