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Paper / 2016SMQ / 9810696772889
The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis
Dimitrios D. Thomakos / Platon Monokroussos / Thomas A. Alexopoulos
banking / credit riskResource overview

The Determinants of Loan Loss Provisions: An Analysis of the Greek Banking System in Light of the Sovereign Debt Crisis

Paper2016

by Dimitrios D. Thomakos, Platon Monokroussos, Thomas A. Alexopoulos

Tags
bankingcredit riskeconometricstime series

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Suggested foundations for financial time series and credit and counterparty risk. Specialist prerequisites vary by paper.

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  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

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  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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