Multinational Banks, Credit Risk, and Financial Crises : A Qualitative Response Analysis

摘要: The global financial unrest over the last decade has shifted attention of banking regulators (Basel II, 2001) in estimating default probabilities for a variety borrowers. Within binary choice panel data framework, current study analyzes various models and cross-examines their performance identifying crises emerging markets. Using ratios, macroeconomic variables, international factors, paper identifies set warning indicators discriminates among three estimators employed. most important determinants commercial/official arrears reschedulings are debt-to-GDP ratio, inflation, trade liberalization, variability GNP per capita growth. In addition to that, changes flows from foreign investors do affect frequencies, while external developments found be insignificant. Cross-modeling comparison indicates presence different exogenous risk depending on approach Further analysi...