RISC DE CREDIT

INTRODUCERE........................................................................................................................................ 1
1. LITERATURA DE SPECIALITATE ȘI ASPECTE METODOLOGICE ALE RISCULUI DE
CREDIT .................................................................................................................................................... 29
1.1. LITERATURA DE SPECIALITATE PRIVIND UTILIZAREA DE MODELE CU DATE ÎN
PANEL ȘI REGRESIA CU TRANZIȚIE LINĂ .............................................................................. 33
1.2. ASPECTE METODOLOGICE ALE REGRESIEI CU TRANZIȚIE LINĂ .......................... 51
1.2.1. Aspecte metodologice privind modelul PSTR ..................................................................... 52
1.2.1.1. Teste preliminare pentru serii de date în panel ............................................................ 53
1.2.1.1.1. Testarea normalității seriilor de date panel ........................................................... 53
1.2.1.1.2. Testarea staționarității seriilor de date panel ........................................................ 54
1.2.1.1.2.1. Testul Levin, Lin, Chu de staționaritate a seriilor de date panel ................. 54
2.2.1.1.2.2. Testul Im, Pesaran, Shin de staționaritate a seriilor de date panel .............. 55
1.2.1.1.2.3. Testele de tip Fisher de staționaritate a seriilor de date panel ...................... 57
1.2.1.1.3. Testarea corelațiilor existente între variabile ........................................................ 57
1.2.1.1.4. Considerarea efectelor individuale într-un model de date panel ......................... 58
1.2.1.2. Prezentarea generală a modelului de regresie cu tranziție lină pe date panel .......... 59
1.2.1.3. Pași de construire a modelului de regresie cu tranziție lină pe date panel ................ 61
1.2.1.3.1. Specificarea modelului: testarea omogenității ....................................................... 62
1.2.1.3.2. Estimarea parametrilor ........................................................................................... 64
1.2.1.3.3. Evaluarea modelului ................................................................................................ 65
1.2.1.3.3.1. Testarea ipotezei de constanță a parametrilor ............................................... 65
1.2.1.3.3.2. Testarea ipotezei de inexistență a unei eterogenități rămase ........................ 67
1.2.1.3.3.3. Determinarea numărului de regimuri extreme .............................................. 68
1.2.1.4. Testarea robusteței modelului PSTR ............................................................................ 68
2. EXISTENȚA UNOR EFECTE ASIMETRICE ÎN COMPORTAMENTUL RISCULUI DE
CREDIT LA NIVEL SISTEMIC: EVIDENȚIERE PE BAZA UNEI REGRESII ÎN PANEL CU
TRANZIȚIE LINĂ .................................................................................................................................. 70
2.1. DESCRIEREA VARIABILELOR .............................................................................................. 72
2.1.1. Rata creditelor neperformante (NPL) .................................................................................. 72
2.1.2. Rentabilitatea financiară (ROE) ........................................................................................... 73
2.1.3. Rentabilitatea economică (ROA) .......................................................................................... 74
2.1.4. Raportul cost - venit (CIR) .................................................................................................... 75
2.1.5. Rata venitului net din dobânzi (NII) .................................................................................... 76
2.1.6. Raportul dintre total credite și total depozite (LTD) .......................................................... 77
2.1.7. Rata de adecvarea a capitalului (CAR) ................................................................................ 78
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2.1.8. Rata capitalurilor proprii de nivel I (TIER 1) ..................................................................... 79
2.1.9. Raportul dintre total capitaluri proprii și active (CAsR) ................................................... 79
2.1.10. Creșterea economică (EG) ................................................................................................... 80
2.1.11. Deficitul bugetar (BD) ......................................................................................................... 81
2.1.12. Rata șomajului (UNMP) ...................................................................................................... 82
2.1.12. Rata inflației (INF) ............................................................................................................... 83
2.1.13. Formarea brută de capital (GCF) ...................................................................................... 84
2.1.13. Economisirea brută (GS) ..................................................................................................... 85
2.1.14. Indicele global de capital S&P (S&P)................................................................................. 85
2.2. DESCRIEREA DATELOR .......................................................................................................... 86
2.3. DEFINIREA MODELULUI ........................................................................................................ 90
2.3.1. Staționaritatea seriilor de date propuse ............................................................................... 91
2.3.2. Corelațiile existente între indicatorii propuși ...................................................................... 93
2.3.3. Definirea modelului de regresie în panel cu funcție de tranziție lină ................................ 94
2.3.4. Considerarea efectelor individuale într-un model panel .................................................... 96
2.3.5. Omogenitatea evoluției ratei creditelor neperformante ..................................................... 97
2.4. REZULTATELE MODELULUI................................................................................................. 98
2.4.1. Estimarea parametrilor ......................................................................................................... 99
2.4.2. Testarea validității modelului ............................................................................................. 109
2.4.2.1. Testarea ipotezei de constanță a parametrilor ........................................................... 110
2.4.2.2. Testarea ipotezei de inexistență a unei eterogenități rămase și determinarea
numărului de regimuri extreme ................................................................................................ 110
2.4.2.3. Testarea seriei erorilor ................................................................................................. 112
2.5. ROBUSTEȚEA MODELULUI PSTR ...................................................................................... 113
2.6. IMPACT ECONOMIC ȘI CONCLUZII .................................................................................. 117
3. EXISTENȚA UNOR EFECTE ASIMETRICE ÎN COMPORTAMENTUL RISCULUI DE
CREDIT ÎN ȚĂRILE EUROPENE ÎN CURS DE DEZVOLTARE: EVIDENȚIERE PE BAZA
UNEI REGRESII ÎN PANEL CU TRANZIȚIE LINĂ ...................................................................... 123
3.1. DESCRIEREA VARIABILELOR ............................................................................................ 126
3.1.1. Structura acționariatului (OC) ........................................................................................... 127
3.1.2. Statutul pe piața de capital a băncii (LISTED) ................................................................. 128
3.1.3. Proveniența capitalurilor (SH)............................................................................................ 129
3.2. DESCRIEREA DATELOR ........................................................................................................ 130
3.3. DEFINIREA MODELULUI ...................................................................................................... 133
3.3.1. Staționaritatea seriilor de date propuse ............................................................................. 134
3.3.2. Corelațiile existente între indicatorii propuși .................................................................... 136
3.3.3. Definirea modelului de regresie în panel cu funcție de tranziție lină .............................. 137
ix
3.3.4. Considerarea efectelor individuale într-un model panel .................................................. 139
3.3.5. Omogenitatea evoluției ratei creditelor neperformante ................................................... 141
3.4. REZULTATELE MODELULUI............................................................................................... 142
3.4.1. Estimarea parametrilor ....................................................................................................... 143
3.4.2. Testarea validității modelului ............................................................................................. 153
3.4.2.1. Testarea ipotezei de constanță a parametrilor ........................................................... 153
3.4.2.2. Testarea ipotezei de inexistență a unei eterogenități rămase și determinarea
numărului de regimuri extreme ................................................................................................ 154
3.4.2.3. Testarea seriei erorilor ................................................................................................. 156
3.5. ROBUSTEȚEA MODELULUI PSTR ...................................................................................... 158
3.6. IMPACT ECONOMIC ȘI CONCLUZII .................................................................................. 162
4. GESTIUNEA RISCULUI DE PIAȚĂ: ABORDAREA VALORII LA RISC PRIN TEORIA
VALORILOR EXTREME .................................................................................................................... 168
4.1. REZULTATELE ACTUALE ALE APLICĂRII TEORIEI VALORILOR EXTREME .... 171
4.2. ASPECTE METODOLOGICE ALE TEORIEI VALORILOR EXTREME ....................... 180
4.2.1. Noțiuni introductive ............................................................................................................. 180
4.2.1.1. Valoarea la risc .............................................................................................................. 181
4.2.1.1.1. Definirea conceptului ............................................................................................. 181
4.2.1.1.2. Metode de calcul ..................................................................................................... 181
4.2.1.2. Teoria Valorilor Extreme ............................................................................................. 184
4.2.1.2.1. Pași în utilizarea EVT ............................................................................................ 184
4.2.2. Metodologie EVT ................................................................................................................. 189
4.2.2.1. Analiza datelor .............................................................................................................. 190
4.2.2.2. Alegerea pragului și stabilirea distribuției cozilor ..................................................... 191
4.2.2.3. Estimarea parametrilor și testarea validității acestora ............................................. 192
4.2.2.4. Calcularea valorii la risc cu abordare EVT ................................................................ 193
4.2.2.5. Testarea rezultatelor pentru VaR și ES ...................................................................... 194
4.3. DESCRIEREA VARIABILELOR ȘI DATELOR ................................................................... 196
4.3.1. Descrierea variabilelor ........................................................................................................ 198
4.3.2. Descrierea datelor ................................................................................................................ 200
4.4. CARACTERISTICILE SERIILOR DE DATE PRIVIND INDICII BURSIERI ................. 201
4.4.1. Staționaritatea seriilor de randamente .............................................................................. 203
4.4.2. Autocorelarea seriilor de randamente ............................................................................... 204
4.5. APLICAREA TEORIEI VALORILOR EXTREME .............................................................. 206
4.5.1. Definirea valorilor extreme ................................................................................................. 206
4.5.2. Stabilirea distribuțiilor cozilor și estimarea parametrilor ............................................... 209
x
4.6. REZULTATE: VALOAREA LA RISC ȘI DEFICITUL AȘTEPTAT .................................. 211
4.6.1. Calcularea valorii la risc și a celei condiționate utilizând modele clasice ....................... 211
4.6.2. Calcularea valorii la risc și a celei condiționate utilizând Teoria Valorilor Extreme .... 214
4.6.3. Testarea rezultatelor obținute cu ajutorul Teoriei Valorilor Extreme ........................... 216
4.7. INTERPRETARE ECONOMICĂ ȘI CONCLUZII ............................................................... 220
CONCLUZII FINALE .......................................................................................................................... 223
REFERINȚE BIBLIOGRAFICE ......................................................................................................... 227
ANEXE ................................................................................................................................................... 247
LISTA ABREVIERILOR ȘI ACRONIMELOR ................................................................................ 307
LISTA TABELELOR ............................................................................................................................ 312
LISTA FIGURILOR ............................................................................................................................. 314
LISTA ANEXELOR .............................................................................................................................. 319

227
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