| Title |
Macroeconomic determinants of loan portfolio credit risk in banks / |
| Translation of Title |
Bankų paskolų portfelio kredito rizikos makroekonominiai veiksniai. |
| Authors |
Mileris, Ricardas |
| DOI |
10.5755/j01.ee.23.5.1890 |
| Full Text |
|
| Is Part of |
Inžinerinė ekonomika = Engineering economics.. Kaunas : KTU. 2012, vol. 23, iss. 5, p. 496-504.. ISSN 1392-2785. eISSN 2029-5839 |
| Keywords [eng] |
bank ; credit risk ; loan portfolio ; macroeconomics ; statistical analysis |
| Abstract [eng] |
The credit risk is one of the main risks in commercial banks and the ability to manage it meaningly affects banks’ stability. This risk arises due to the particular reasons related to the possibility to lose loans if the debtors are not able to meet their financial obligations. When making the decisions of financing the loan applicants, banks use the credit risk assessment models that allow estimating the probability of the potential borrowers to default on their loan commitments. The main goal of managing the credit risk in banks is to compound the loan portfolio of the acceptable risk level. According to Derelioglu and Gurgen (2011) the credit risk analysis aims to decrease future losses by estimating the potential risk and eliminating the new credit proposal if the risk is higher than a defined tolerance value. In this respect, it is essential to identify the main factors causing this risk in order to manage it. When assessing the credit risk of every company, banks usually analyze the financial data and some qualitative factors as the independent variables in the statistical credit risk assessment models. But in changing the credit policy in banks and pricing the credits, it is very important to predict the quality of loan portfolio in future. The problem can be summarized as finding the statistical methods that relates the proportion of doubtful and non-performing credits in the loan portfolio (dependent variable) with the set of explanatory variables (macroeconomic information of a country). The aim of this research is to find the macroeconomic determinants that significantly influence the changes of loan portfolio credit risk in banks and to develop the statistical model for prediction of the proportion of doubtful and non-performing loans. [...]. |
| Published |
Kaunas : KTU |
| Type |
Journal article |
| Language |
English |
| Publication date |
2012 |
| CC license |
|
