Cabrera, Wilmar; Rueda, Javier Gutiérrez; Mendoza, … - Banco de la Republica de Colombia
In this paper we seek to assess the ability of banks to withstand the e?ects of an increase in credit risk as a result of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of four macroeconomic variables commonly used in the...