01779cas a2200253 a 4500 AALejournalIMF003116 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451856996 1018-5941 BD-DhAAL BD-DhAAL Mendez Morales, Armando. Identifying Threshold Effects in Credit Risk Stress Testing / Armando Mendez Morales, Jose Gasha. Washington, D.C. : International Monetary Fund, 2004. 1 online resource (17 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded self-correcting adjustment when NPLs exceed a minimum threshold. For financial systems in emerging markets in Latin America showing higher NPLs, there is instead a magnifying effect once NPLs cross a (higher) threshold. GDP growth apparently affects NPLs only below a certain threshold, which is consistent with observed lower elasticity of credit risk to changes in economic activity in boom periods. Mode of access: Internet Gasha, Jose. IMF Working Papers; Working Paper ; No. 2004/150 Full text available on IMF http://elibrary.imf.org/view/journals/001/2004/150/001.2004.issue-150-en.xml IMF e-Library