Multi-country study of bank credit risk determinants
By N. Ahmad, Mohamed Imran Mohamed Ariff. 2008
239 citations recorded by the source corpus.
This paper presents fresh findings about key determinants of credit risk of commercial banks in emerging economy banking systems compared with developed economies. Australia, France, Japan and the US represent developed economies; emerging economies are India, Korea, Malaysia, Mexico and Thailand. Credit risk theories and empirical literature suggest eight credit risk determinants. We find anywhere from two to four factors are alone significantly correlated with credit risk of any one banking system. Regulatory capital is significant for banking systems that offer multi products; management quality is critical in the cases of loan-dominant banks in emerging economies. Contrary to theory or studies, we find leverage is not correlated with credit risk in our test period. Data transformations and statistical corrections ensured these results are reliable: Model robustness was tested using AIC. The model developed here could be applied to test more emerging economy banking systems to generalize our findings to other economies.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/c1399419b631455a246b3b017714d645bc0d84ff
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Citations in the corpus
- Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI (2013, background): “Jimenes and Saurina (2004) and Ahmad and Ariff (2007) also focus their analysis on the unsystematic factors.”
- Comparative credit risk in Islamic and conventional bank (2015, unknown): “Lastly, a number of researchers have used a simple NPL ratio as a proxy for credit risk in banking (Berger and DeYoung, 1997; Ahmad and Ariff, 2007; Das and Ghosh, 2007; Jiménez et al., 2010; Fiordelisi et al., 2011).”
- CREDIT RISK AND COMMERCIAL BANKS' PERFORMANCE IN NIGERIA: A PANEL MODEL APPROACH (2012, background): “Non-performing loan is the percentage of loan values that are not serviced for three months and above (Ahmad and Ariff, 2007).”