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Modelling the Evolution of Households’ Defaults

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The implementation of stress tests requires, inter alia, having available instruments to project losses in credit portfolios, in particular under different macroeconomic scenarios. This article presents empirical regularities between measures of credit risk in banks’ portfolios and macro-economic variables. Two econometric models are estimated, respectively for the mortgage segments (loans to households for housing purpose) and loans for consumption and other purposes.
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Journal (repec) 
Economic Studies