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8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar Zarhas
Asthglthmi Bule Baposht Hmsurlmja [raghugTltas lmb Corajlsthmi Mom-parcorghmi Eolms>Rwo Maw Gobaes
Mloyufh Xos`hmo,Clr`lb Rli`hzlba`-@aslry,lmb Clr`lb Mheh
Mo. 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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R`a Yorfhmi [lpar sarhas hs l jomthmulthom oc t`a corgarey mlgab Bhsjusshom [lpar sarhas6t`a mugdarhmi oc t`a plpars jomthmuab wht`out hmtarrupthom or j`lmia. LBDHs worfhmiplpars raceajt hmhthle hbals om l tophj lmb lra postab omehma cor bhsjusshom. LBDH amjourliasralbars to post t`ahr joggamts om t`a glhm plia cor alj` worfhmi plpar (ihvam hm t`ajhtlthom daeow). Zoga worfhmi plpars gly bavaeop hmto ot`ar corgs oc pudehjlthom.
Zuiiastab jhtlthom>
Xos`hmo, M., C. Rli`hzlba`-@aslry, lmb C. Mheh. 4; Rwo Maw Gobaes. LBDH Yorfhmi[lpar 1 Lshlm Bavaeopgamt Dlmf Hmsthtuta. Lvlheldea>`ttp>//www.lbdh.ori/worfhmi-plpar/4;
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 Xou VbaposhtorsW bo mot ply cor t`a baposht hmsurlmja.Chmlmjhle hmsthtuthoms t`lt lra l gagdar oc our baposht hmsurlmja systag ply praghugsto us.Let`oui` gagdar dlmfs or chmlmjhle hmsthtuthoms oc t`a baposht hmsurlmja systagbo hmbaab ply t`a praghug rlta to t`a BHJ, hm prljthja t`a baposht hmsurlmja praghugrlta durbam hs bhvhbab datwaam dlmfs lmb baposhtors lmb/or dlmfs lmb jorporlthoms.Chiura < heeustrltas `ow t`a durbam oc t`a baposht hmsurlmja praghug hs s`lrab.
Chiura Y`o [lys t`a Baposht Hmsurlmja [raghug?
Zourja> Lut`ors jogphelthom.
Hm Chiura
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 Hmjoga lmb Axpambhtura oc BHJ hm t`a Jlsa oc Bule [raghug Tltas
BHJ 7 baposht hmsurlmja liamjy/jorporlthom.
Mota> L Dlmfs lra `alet`har dlmfs t`lm D Dlmfs. hs praghug rlta cor Iroup L, hs praghug rlta
cor Iroup D oc dlmfs. lra praghug hmjoga oc t`a BHJ crog Iroup L lmb Iroup D oc dlmfs,
raspajthvaey. lra juguelthva baposht oc Iroup L lmb Iroup D oc dlmfs, raspajthvaey.
Zourja> Lut`ors.
Ls Chiura 4 s`ows, ljjorbhmi to our gobae, t`a praghug hmjoga t`a BHJ alrms crogalj` iroup oc dlmfs (L, D) `ls to da aqule to t`a totle lgoumt oc chmlmjhle lsshstlmjat`a BHJ provhbas to alj` iroup hm jlsa oc l dlmfhmi bacluet hm t`lt iroup, oparlthomleaxpambhturas hmjurrab dy t`a BHJ cor alj` iroup, lmb prajluthomlry cutura rasarvasfapt dy t`a BHJ cor alj` iroup saplrltaey.
Ls par our gobae, t`a bhsjoumtab juguelthva lgoumts oc t`asa vlrhldeas lra hgportlmt,
galmhmi>
Bhsjoumtab juguelthva praghug hmjoga oc t`a BHJ crog alj` iroup oc dlmfs(hmjeubhmi cutura axpajtab hmjoga) 7 Bhsjoumtab juguelthva oparlthomle axpambhturasoc t`a BHJ towlrb alj` iroup oc dlmfs (hmjeubhmi cutura axpajtab oparlthomleaxpambhturas) + Bhsjoumtab juguelthva chmlmjhle lsshstlmja oc t`a BHJ to clheabchmlmjhle hmsthtuthoms oc alj` iroups (hmjeubhmi cutura axpajtab chmlmjhle lsshstlmja) +bhsjoumtab prajluthomlry cutura rasarvas oc t`a BHJ lt t`a amb oc t`a parhob cor alj`iroup oc dlmfs.
Daeow, hm Aqulthoms
[rasamt vleua oc hmjoga (hmjeubhmi cutura hmjoga) oc t`a BHJ crog Iroup L dlmfs>
(
(4)
w`ara lmb bamota t`a prasamt vleua oc hmjoga (hmjeubhmi cutura hmjoga) oc
t`a BHJ crog Iroup L lmb Iroup D dlmfs, raspajthvaey6 lmb lra t`a juguelthva
lgoumt oc aehihdea baposhts oc Iroup L lmb Iroup D dlmfs, raspajthvaey, hm alj` yalr6
L
D
DL HH ,
DL BB ,
( ) ( ) ( ) ( )mm
Lm
LLLL
r
B
r
B
r
B
r
B[SH LLLL
+++
++
++
+7
(2)
[rasamt vleua oc chmlmjhle lsshstlmja (hmjeubhmi cutura chmlmjhle lsshstlmja) oc t`a BHJto Iroup D dlmfs>
(1)
lmb lra t`a prasamt vleua oc chmlmjhle lsshstlmja (hmjeubhmi cutura chmlmjhle
lsshstlmja) oc t`a BHJ to Iroup L lmb Iroup D dlmfs, raspajthvaey6 lmb lmb lrachmlmjhle lsshstlmja oc t`a BHJ to Iroup L lmb Iroup D dlmfs hm alj` yalr,
raspajthvaey. Ls t`a jurramt yalr Gljro Z`ojfsvarsus Hbhosymjrlthj Z`ojfs
Chmlmjhle lsshstlmja crog t`a BHJ hs glhmey raeltab to t`a lgoumt oc M[Est`a elriart`a lgoumt oc M[Es, t`a `hi`ar t`a bacluet rhsf, w`hj` galms t`a BHJ woueb maab to
provhba iraltar chmlmjhle lsshstlmja (Xos`hmo lmb @hrlmo 4;
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
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LBDH Yorfhmi [lpar 1 FGO 7 ;.3 shimhchjlmja oc Dlrteatts tast5;.;;.
Maxt, wa batarghma `ow glmy cljtors to usa hm our lmleyshs. Rldea 4 raports t`aasthgltab cljtors lmb t`ahr ahiamvleuas. Omey t`osa cljtors ljjoumthmi cor gora t`lm
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 Bhstrhduthom oc Cljtors cor 40 Dlmfs
Mota> Alj` stlr raprasamts oma dlmf, w`hj` `ls daam mlgab lep`ldathjleey, L, D, J, , ^, LL, DD, JJ, BB,AA lmb CC cor :4 Hrlmhlm dlmfs. Cour dlmfs (dlmfs D, I, @, lmb G) wara outehars hm poshthva plrts oc t`airlp`s lmb lra mot vhshdea hm t`a ldova irlp`s.
:.: Jeustar Lmleyshs
Hm t`hs sajthom, wa tlfa t`a t`raa jogpomamts t`lt wara odtlhmab hm t`a pravhoussajthom lmb hbamthcy t`osa dlmfs t`lt `lva shghelr trlhts. Ya t`am iamarlta jeustars lmbpelja t`a dlmfs hm bhsthmjt iroups. Ro bo t`hs, wa agpeoy jeustar lmleyshs, w`hj`orilmhzas l sat oc bltl hmto iroups so t`lt odsarvlthoms crog l iroup wht` shghelrj`lrljtarhsthjs jlm da jogplrab wht` t`osa crog l bhccaramt iroup (Glrthmaz lmb
CCAA BB
JJ
DD
LL
^
XPYSQ
RZT\
[OM
E F
N
HC
A
B
J
L
-4.1
-4
-
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 `harlrj`hjlejeustarhmi, opthghzlthom jeustarhmi,:lmb gobae-dlsab jeustarhmi. Ya usa t`a gat`obgost pravleamt hm t`a ehtarltura`harlrj`hjle jeustarhmi. R`hs probujas l mastabsaquamja oc plrththoms dy garihmi (or bhvhbhmi) jeustars. Lt alj` stlia oc t`a saquamja,l maw plrththom hs opthgleey gariab wht` (or saplrltab crog) t`a pravhous plrththomljjorbhmi to soga lbaquljy jrhtarhom. R`a saquamja oc plrththoms rlmias crog l shmieajeustar jomtlhmhmi lee t`a hmbhvhbule dlmfs to l mugdar oc jeustars (m) jomtlhmhmi l shmieadlmf. R`a sarhas jlm da basjrhdab dy l traa bhspely jleeab t`a bambroirlg (Chiura 2).Liieogarlthva `harlrj`hjle jeustarhmi projaabs dy galms oc l sarhas oc sujjasshvacushoms oc t`a m odnajts hmto iroups. Dy jomtrlst, bhvhshva `harlrj`hjle gat`obs bhvhbat`a m hmbhvhbules hmto proirasshvaey chmar iroups. Bhvhshva gat`obs lra mot joggomeyusab dajlusa oc t`a jogputlthomle prodeags t`ay posa (saa Avarhtt at le. V4;;
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 Bambroirlg Qshmi Lvarlia Ehmflia
R`a rasuethmi bambroirlg (`harlrj`hjle lvarlia ehmflia jeustar traa) provhbas l dlshscor batarghmhmi t`a mugdar oc jeustars dy shi`t. Hm t`a bambroirlg s`owm hm Chiura 2t`a `orhzomtle lxhs s`ows 40 Hrlmhlm dlmfs, w`hj` `lva daam mlgab lep`ldathjleey. Lsgamthomab ldova, :4 Hrlmhlm dlmfs `lva daam t`a sudnajt oc our axlghmlthom.@owavar, cour dlmfs `lva outeyhmi poshthva bltl w`hj` lra clr ragovab crog t`a bltlcor t`a ot`ar 40 dlmfs. Ya bo mot hmjeuba t`asa cour dlmfs hm our jeustar lmleyshs lsour rasuet woueb mot da l rlthomle jeustarhmi. R`hs hs t`a ralsom Chiura 2 s`ows omey 40dlmfs om t`a `orhzomtle lxhs.
R`a bambroirlg jelsshchas t`a dlmfs hmto two glhm jeustars (Iroup < lmb Iroup 4), dutht boas mot s`ow w`hj` oc t`asa two jeustars jomtlhm t`a chmlmjhleey `alet`har dlmfs, sowa `lva to tlfa oma curt`ar stap. Dy jogplrhmi t`a jelsshchjlthom rasuethmi crog jeustar
lmleyshs lmb t`a bhstrhduthoms oc cljtors hm Chiura :, wa jlm jomjeuba t`lt t`a saquamjaoc dlmfs om t`a `orhzomtle lxhs oc our bambroirlg hs dlsab om t`ahr soumbmass.Lgomi t`asa 40 dlmfs, dlmf C `ls t`a `hi`ast stldhehty lmb soumbmass, w`aralsdlmf Y `ls t`a eowast.
:.2 Todustmass J`ajf oc Dlmfs Jrabht Tlthmi
Cor rodustmass, wa j`ajf t`a rlmfhmis oc t`raa dlmfs out oc t`a 40 dlmfs cor lee ahi`taxlghmab chmlmjhle vlrhldeas. Ya rlmbogey phjf oma dlmf crog Iroup < lmb oma crogIroup 4, lmb t`a dlmf t`lt hs hm t`a ghbbea oc t`a jrabht rlmfhmi saeajtab. R`a rasuetslra sugglrhzab hm Rldea 1>
Rldea 1> Todustmass J`ajf cor R`raa Zlgpea Dlmfs
Dlmf Jrabht
rlmf
Tlmf oc
EB
Tlmf oc
[TE
Tlmf oc
(ZB+EB)B
Tlmf
oc LE
Tlmf oc
ZJE
Tlmf oc
JLB
Tlmf oc
JDTB
Tlmf oc
ODTB
H 4 42 <
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
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LBDH Yorfhmi [lpar 1 Taspomsa oc M[E/E to Hmmovlthoms (Iroup < oc Dlmfs)
Mota> Ljjugueltab raspomsa to J`oeasfy oma-stlmblrb bavhlthom hmmovlthoms. M[E
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LBDH Yorfhmi [lpar 1 Ljjugueltab raspomsa to J`oeasfy oma-stlmblrb bavhlthom hmmovlthoms. M[E4/E4 hs t`a rltho oc M[Esovar totle eolms cor Iroup 4 oc t`a dlmfs6 ^4,< bamotas t`a chrst jogpomamt, ^4,4t`a sajomb jogpomamt, lmb^4,:t`a t`hrb jogpomamt, lee t`raa cor Iroup 46 G< bamotas t`a G< irowt` rlta, [ t`a J[H hmcelthom rlta, lmb Xt`a IB[ irowt` rlta.
Iroup 4 s`ows shghelr raspomsas to hmmovlthoms to gljro vlrhldeas. Ht galms cojushmiomey om l gobae dlsab om gljro vlrhldeas cor corajlsthmi M[Es oc bhccaramt iroups ocdlmfs woueb ealb to ghshmtarpratlthom ls ht hs posshdea t`lt umbar ioob ajomoghjjombhthoms soga dlmfs s`ows mailthva chmlmjhle parcorglmja lmb `lva `hi` bacluet
rhsf.
R`a raspomsas oc M[E/E oc Iroup 4 oc t`a dlmfs to lm umlmthjhpltab poshthva s`ojf to^< lmb ^: hs shghelr to Iroup
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1 Chmlmjhle Lsshstlmja oc t`a Baposht Hmsurlmja Jorporlthom/Liamjyhm l Clheab Dlmfs Dlelmja Z`aat
Zourja> Lut`ors jogphelthom.
Ro asthglta clhr praghug rltas cor alj` iroup oc dlmfs, wa maab to glfa sogalssugpthoms railrbhmi> t`a parjamtlia s`lra oc hmsurlmja jovarlia cor alj` typa ocbaposht6 t`a eavae oc t`a hmsurhmi liamjys oparlthomle axpambhturas6 t`a asthgltabbacluet rltho oc M[Es6 lmb t`a parjamtlia s`lra oc axjass ovar t`a corajlstab chmlmjhlelsshstlmja crog t`a BHJ lmb oparlthomle axpambhturas maabab to da fapt dy t`hsorilmhzlthom ls prajluthomlry rasarvas.
Ro jlejuelta t`a clhr praghug rlta cor alj` iroup oc dlmfs hm t`a jlsa oc Hrlm, wa glbat`a coeeowhmi lssugpthoms (t`oui` t`asa lssugpthoms joueb da gobhchab to tlfaljjoumt oc bajhshoms dy poehjyglfars lmb gomatlry lut`orhthas)>
h. Lee dlmfs ply t`a slga gagdars`hp caa to t`a BHJ, ls wa bo mot `lva
hmcorglthom ldout t`a BHJs oparlthomle axpambhturas. R`hs gagdars`hp caa hs
t`a omey sourja oc chmlmjhmi oparlthoms axpambhturas (a.i., parsommae josts lmb
aquhpgamt josts) oc t`a hmsurhmi orilmhzlthom lmb praghug hmjoga oc t`a BHJ
whee da t`a omey sourja oc chmlmjhle lsshstlmja crog t`a BHJ hm jlsa oc dlmf
clheura.
4:
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LBDH Yorfhmi [lpar 1
8/10/2019 Estimating Dual Deposit Insurance Premium Rates and Forecasting Non-performing Loans: Two New Models
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LBDH Yorfhmi [lpar 1
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LBDH Yorfhmi [lpar 1
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LBDH Yorfhmi [lpar 1 LshlmBavaeopgamt Dlmf Hmsthtuta.
Xos`hmo, M. lmb C. Rli`hzlba`-@aslry. 4;