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Title: An empirical investigation of the loan concentration risk in Latin America
Authors: Kalotychou, Elena 
Staikouras, Sotiris 
metadata.dc.contributor.other: Καλοτύχου, Έλενα
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Financial crises;Forecasting;International credit risk;Logit modelling
Issue Date: Oct-2006
Source: Journal of Multinational Financial Management, 2006, vol.6, no. 4, pp. 363-384
Volume: 6
Issue: 4
Start page: 363
End page: 384
Journal: Journal of Multinational Financial Management 
Abstract: The paper sets out to explore the factors affecting the credit quality of the Latin American region. Specifically, a logit framework is employed based on macroeconomic and financial data to determine the causes of Latin American debt crises in the last two decades. The analysis uses a modification of the default indicator to explicitly incorporate country arrear capacity. A number of domestic and international signals are found to be important in determining earlier as well as recent incidents. Domestic fundamentals, however, bear a much heavier weight than global conditions, implying that policy-makers still enjoy some freedom in preventing crises by monitoring country vulnerability. Furthermore, the study focuses on the out-of-sample classification accuracy of the proposed estimator using various criteria and provides 1-, 2- and 3-year-ahead forecasts for country default probabilities. Predictive performance is satisfactory with a reasonable reduction in accuracy in the out-of-sample period. Nevertheless, the findings indicate an upward bias towards type II errors.
ISSN: 1042444X
DOI: 10.1016/j.mulfin.2005.08.005
Rights: © Elsevier
Attribution-NonCommercial-NoDerivs 3.0 United States
Type: Article
Affiliation : City University London 
Appears in Collections:Άρθρα/Articles

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