Credit risk

About: Credit risk is a research topic. Over the lifetime, 18595 publications have been published within this topic receiving 382866 citations.

The impact of credit risk on profitability performance of commercial banks in Ethiopia

Abstract: The objective of the study was to empirically examine the impact of credit risk on profitability of commercial banks in Ethiopia. For the purpose secondary data collected from 8 sample commercial banks for a 12 year period (2003-2004) were collected from annual reports of respective banks and National Bank of Ethiopia. The data were analyzed using a descriptive statics and panel data regression model and the result showed that credit risk measures: non-performing loan, loan loss provisions and capital adequacy have a significant impact on the profitability of commercial banks in Ethiopia. The study suggested a need for enhancing credit risk management to maintain the prevailing profitability of commercial banks in Ethiopia. Key words: Commercial banks, credit risk, Ethiopia, panel data regression performance, profitability.

Sovereign yields and the risk-taking channel of currency appreciation

Abstract: Currency appreciation against the US dollar is associated with the compression of emerging market economy (EME) sovereign yields. We find that this yield compression is due to reduced risk premiums rather than expectations of interest rates already priced into forward rates. We explore a model which ties together dollar credit to EME corporates, sovereign tail risks and global investor portfolio adjustments driven by economic capital constraints. Consistent with our model, we find no empirical association between currency appreciation and sovereign spreads when we use the trade-weighted effective exchange rate that is unrelated to the US dollar.

Securitization and systematic risk in European banking: Empirical evidence.

Abstract: Using a unique dataset of 592 cash and synthetic securitizations issued by 54 banks from the EU-15 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a positive impact on the increase of European banks’ systematic risk. Baseline results hold when comparing estimated beta coefficients with a control group of similar non-securitizing banks. Building several sub-samples we additionally find that (a) the increase in systematic risk is more relevant for larger banks that repeatedly engage in securitization, (b) securitization is more important for small and medium financial institutions, (c) banks have a higher incentive to retain the larger part of credit risk as a quality signal at the beginning of the securitization business in Europe, and (d) the overall risk-shifting effect due to securitization is more distinct when the pre-event systematic risk is low.

Public Export Credit Guarantees and Foreign Trade Structure: Evidence from Austria

Abstract: Foreign trade is usually not based on cash transactions, but rather sales on credit are the rule. The resulting monitoring costs for lenders and the risk of default on accounts receivable are part of the costs associated with cross-border goods transactions. Relative to domestic trade credit, cross-border credit creates trade barriers due to differences in language, business practice, jurisdiction and payment enforceability between trading partners. Export credit insurance has long been a domain of public export credit agencies. Only since the early 1980s private insurance is gaining ground. Using disaggregated panel data for goods exports from Austria over the period 1996 to 2002, we show that public export credit guarantees have a less than proportional positive effect on international trade volume. They predominantly affect the country structure of foreign trade but leave the industry specialisation almost unchanged.

Bank Management & Financial Services

Abstract: Part I. An Introduction to the Business of Banking and Financial Services Management 1. An Overview of Banks and The Financial-Services Sector 2. The Impact of Government Policy and Regulation on Banking and the Financial-Services industry 3. The Organization and Structure of Banking and The Financial-Services Industry 4. The Financial Statements of Banks and Some of Their Closest Competitors 5. Measuring and Evaluating the Performance of Banks and Their Principal Competitors Part II. Asset-Liability Management Techniques and Hedging Against Interest-Rate Risk and Credit Risk 6. Asset-Liability Management: Determining and Measuring Interest Rates and Controlling Interest-Sensitive and Duration Gaps 7. Using Financial Futures, Options, Swaps, and Other Hedging Tools in Asset-Liability Management 8. Asset-Backed Securities, Loan Sales, Credit Standbys, and Credit Derivatives: Important Risk Management Tools for Banks and Competing Financial-Service Firms Part III. Managing the Investment Portfolios and Liquidity Positions of Banks and Similar Financial Firms 9. The Investment Function in Banking and Financial Services Management 10. Liquidity and Reserve Management: Strategies and Policies Part IV. Managing the Sources of Funds for Banks and Their Closest Competitors 11. Managing and Pricing Deposit Services 12. Managing Nondeposit Liabilities and Other Sources of Borrowed Funds 13. Sources of Fee Income: Investment Banking, Security Trading, Insurance, Trust, and Other Revenue-Producing Services 14. The Management of Capital Part V. Providing Loans to Businesses and Consumers 15. Lending Policies and Procedures 16. Lending to Business Firms and Pricing Business Loans 17. Consumer Loans, Credit Cards, and Real Estate Lending Part VI. The Path of Expansion for Banks and Competing Financial-Service Providers 18. Creating and Managing Service Outlets: New Charters, Branches, and Electronic Facilities 19. Mergers and Acquisitions: Managing the Process 20. International Banking Service Options Appendix: Using a Financial Calculator Dictionary of Key Terms in Banking and Financial Services