英文标题：
《Contraction or steady state? An analysis of credit risk management in
  Italy in the period 2008-2012》
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作者：
Stefano Olgiati, Alessandro Danovi
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最新提交年份：
2013
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英文摘要：
  Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the nominal total credit used by non-financial corporations. Such frequent and intense fluctuations are frequently ascribed to exogenous Basel II procyclical effects on credit flow into the economy and, consequently, Basel III output based point in time Credit to GDP countercyclical buffering advocated. We have tested the opposite null hypotheses that such variation is significantly correlated to actual default rates, and that such correlation is explained by fluctuations of credit supply around a steady state. We have found that, in the period June 2008 to June 2012 (n=17), linear regression of credit growth rates on default rates reveals a negative correlation of r=minus 0.6903 with R squared=0.4765, and that credit supply fluctuates steadily around the default rate with an Internal Steady State Parameter SSP=0.00245 with chi squared=37.47 (v=16, P<.005). We conclude that fluctuations of the total credit used by non-financial corporations are exhaustively explained by variation of the independent variable default rate, and that credit variation fluctuates around a steady state. We conclude that credit risk management in Italy has been effective in parameterizing credit supply variation to default rates within the Basel II operating framework. Basel III prospective countercyclical point in time output buffers based on filtered Credit to GDP ratios and dynamic provisioning proposals should take into account this underlying steady state statistical pattern.
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中文摘要：
在2008年6月至2012年6月期间，意大利信贷风险管理的特点是频繁（频率=每年0.5个周期）和剧烈（峰值幅度：平均值=392亿欧元，标准普尔=28.3亿欧元）季度收缩和扩张，接近非金融公司使用的名义总信贷的平均值（9154亿欧元，标准普尔=35.9亿欧元）。这种频繁而剧烈的波动通常归因于对流入经济体的信贷流产生的外生巴塞尔协议II顺周期效应，以及因此提倡的基于巴塞尔协议III产出的时间点信贷对GDP的反周期缓冲。我们测试了相反的无效假设，即这种变化与实际违约率显著相关，并且这种相关性可以通过稳定状态下信贷供应的波动来解释。我们发现，在2008年6月至2012年6月期间（n=17），信贷增长率对违约率的线性回归显示r=负0.6903，r平方=0.4765，信贷供应围绕违约率稳定波动，内部稳态参数SSP=0.00245，卡方=37.47（v=16，P<0.005）。我们的结论是，非金融企业使用的总信贷的波动完全可以用自变量违约率的变化来解释，信贷的变化在稳定状态下波动。我们得出结论，意大利的信贷风险管理在巴塞尔协议II运营框架内有效地将信贷供应变化与违约率参数化。《巴塞尔协议III》基于过滤后的信贷与GDP比率和动态准备金提议的预期反周期时间点产出缓冲应考虑到这一潜在的稳态统计模式。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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