The probabilistic impact on a given loan’s migration from performing to non-performing (or the reverse) of regional unemployment, of the estimated loan-to-collateral-value ratio and of other loan characteristics has been estimated by Central Bank researchers using relatively complex econometric techniques. Given estimates of future macroeconomic developments, the estimated model can be used to simulate the evolving performance of the loans in the period ahead.
With over half-a-million loans and five years of records it might seem that there is no shortage of data; but this is not the case.