Search results

1

Makroekonomiczne determinanty ryzyka kredytowego w Polsce ze szczególnym uwzględnieniem kursów walut obcych

100%

Pluskota A.

Finanse i Prawo Finansowe

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2021

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vol. 3

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issue 31

107-118

EN

The purpose of the article. The aim of the study is to show the impact of the key macroeconomic determinants of the credit risk of the banking sector in Poland in 2011–2020. This aim was achieved by analysis of the Pearson correlation coefficient and econometric models allowing to determine the impact of individual variables on the NPL index. Methodology: The empirical part includes the presentation and description of basic descriptive statistics, as well as the calculation of the Pearson correlation coefficient with the interpretation of the obtained results. The dynamic econometric model describing the variability of the NPL ratio was built using mainly macroeconomic variables. Results of the research: Research has shown the impact of changes in the unemployment rate and the inflation rate on credit risk. On the other hand, the impact of economic growth on the NPL ratio in the analyzed period was not statistically significant. The relationship between credit risk and changes in foreign exchange rates (CHF, USD, EUR) turned out to be negative in the analyzed period, which means that the increases in exchange rates of these currencies did not result in a significant burden of credit risk in the banking sector in Poland.

2

Concentration of credit exposure as a significant source of risk in banking activities: the idea and methods of estimation

93%

Kozak S.

Finansowy Kwartalnik Internetowy e-Finanse

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2015

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vol. 11

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issue 3

103-115

EN

The simultaneous activation of many sources of risk can slow bank operations and even lead to bankruptcy. Credit risk is the greatest threat to the orderly functioning of a bank. To protect against its materialization banks spend nearly 90% of their total capital requirement. Concentration of credit exposure to single entities, as well as to single economic sectors, can be a source of additional risks. Estimation of the additional portion of the capital requirement in selected banks in Poland in 2008-2013 indicates that banks should assign additional 4% and 2% of the capital requirement to cover the risk of exposure concentrations in: respectively, individual entities and individual economic sectors. For banks with a retail profile more important was the risk of large exposures in individual economic sectors, and for banks with a corporate profile in individual entities. Estimates were carried out according to the procedure used by the Bank of Spain and the Bank of Slovenia, and the data derived from the annual financial reports of selected banks listed on the WSE.

3

Credit rating a ryzyko kredytowe emitenta

93%

Chodnicka-Jaworska P., Jaworski P.

Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace

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2018

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issue 2

171-182

EN

The purpose of this paper is to analyse the impact of country's credit rating on issuers' credit risk measured by the difference between bond yields and IRS spreads. Based on literature review, the following hypothesis has been proposed: the decrease and increase of credit ratings have a statistically significant impact on the issuers' credit risk. The study was conducted using event study methodology, Thomson Reuters Database data for the period 1990-2016 and S&P, Fitch and Moody foreign long-term issuer credit ratings. Ten-year treasury bonds and IRS spreads were used to verify the hypothesis.

4

APPLICATION OF MIGRATION MATRICES TO RISK EVALUATION AND THEIR IMPACT ON PORTFOLIO VALUE

93%

Grzybowska U., Karwanski M.

Metody Ilościowe w Badaniach Ekonomicznych

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2013

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vol. 14

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issue 1

127-136

EN

Migration matrices are widely used in risk management. In particular, quality of financial products due to credit risk is described by assigning them to one of several rating categories. The probability of future rating is determined by a migration matrix. Portfolio’s value depends on the rating and on market states. To find an optimal portfolio one should consider migration matrices and the dynamics of market changes. The main goal of our research was to investigate the impact of both risks, market risk and credit risk on portfolio value. On a real portfolio we show that differences in migration matrices that result from the state of economy influence considerably credit risk and portfolio value.

5

The comparison on determination methods of loss distribution in credit portfolio in CreditRisk+ model

93%

Pietrzak A.

Acta Universitatis Lodziensis. Folia Oeconomica

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2011

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vol. 255

PL

Model CreditRisk+ jest jedną z metod portfelowych służących do zarządzania ryzykiem kredytowym. W pracy omówione zostały założenia modelu, metody wyznaczenia oczekiwanych strat, jak również rozkładu straty z całego portfela kredytowego. Pierwsza numeryczna metoda stworzona przez Credit Suisse First Boston w 1997. która próbowała opisać ten model, bazowała na wzorze Panjer'a. Obecnie powstało kilka innych algorytmów umożliwiających wyznaczenie dystrybuanty straty z portfela kredytowego. Dwa z nich zostały omówione i porównane w tej pracy. Jeden algorytm bazuje na funkcji generującej prawdopodobieństwo, natomiast drugi wykorzystuje odwrotną transformatę Fouriera.

6

Exposure at default. The problem of its estimation in the context of capital requirements

93%

Siarka P.

Mathematical Economics

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2014

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issue 10(17)

61-78

EN

Credit risk analysis is largely based on the principles set out by the Basel Committee. Next to the probability of default and recovery rate, one of the most important elements of risk management systems is the value of the exposure at default. This paper presents the issue of EAD (Exposure at Default) estimation with respect to both balance sheet and off-balance sheet items. The author refers to the problem regarding the assessment of EAD forecast quality. He presents the results of the simulations conducted for the most common retail portfolios. The results show that the expected value of the exposure at default is significantly lower than the balance value at the moment of capital requirement calculation. This leads to the conclusion that the approach recommended by the Basel Committee, based on the current book value of the exposure, may result in the overestimation of EAD. The paper contains the proposal of the method which was leveraged for retail products (cash loans, car loans, mortgage loans).

7

Classification of Trade Sector Entities in Credibility Assessment Using Neural Networks

93%

Wójcicka A.

Optimum. Studia Ekonomiczne

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2017

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vol. 3(87)

EN

One of the most valid tasks in credit risk evaluation is the proper classification of potential good and bad customers. Reduction of the number of loans granted to companies of questionable credibility can significantly influence banks’ performance. An important element in credit risk assessment is a prior identification of factors which affect companies’ standing. Since that standing has an impact on credibility and solvency of entities. The research presented in the paper has two main goals. The first is to identify the most important factors (chosen financial ratios) which determine company’s performance and consequently influence its credit risk level when granted financial resources. The question also arises whether the line of business has any impact on factors that should be included in the analysis as the input. The other aim was to compare the results of chosen neural networks with credit scoring system used in a bank during credit risk decision-making process.

8

The issue of pd estimation – a practical approach

93%

Siarka P.

Mathematical Economics

|

2011

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issue 7 (14)

199-212

EN

The issue of estimating the probability of default constitutes one of the foundations of risk systems applied in modern banking. The Basel Committee pays a lot of attention to ways of its estimation and validation. This paper discusses statistical methods enabling PD estimations with consideration of the retail character of a credit portfolio. The author refers to the issue of defining default and to the way of calculating the number of days in arrears. This paper presents the results of research studies obtained on the basis of retail credit portfolio. For selected sub-portfolios, the author makes a comparison of the probability of default, which enables the explicit risk assessment.

9

System informacyjny banku – integracja procesów zarządzania ryzykiem kredytowym

93%

Siarka P.

Informatyka Ekonomiczna

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2015

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issue 1(35)

53-69

EN

The author presented a general concept of banking information system regarding credit risk management process. The main elements were presented on the ground of the regulations published by the Basel Committee. The author addressed the issues of interaction between such areas as risk assessment, back-testing and stress testing. He also outlined a comprehensive approach to credit risk policy. Moreover the author showed the proper place in the risk management system for the analysis of adverse scenarios and catastrophic events. Thus, he pointed out a potentially hazardous area for the banking sector. In this article, the benefits resulting from an integration of various processes were presented. Therefore it was shown that the efficiency of credit risk management system depends on the integration of internal processes.

10

Credit risk of FX loans in Poland. Interest and FX rate Dependence

93%

Wośko Z., University of Lodz D. o. E., National Bank of Poland F. S. D.

Acta Universitatis Lodziensis. Folia Oeconomica

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2013

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vol. 295

EN

One of important financial stability risks in Poland is relatively high share of bank loans denominated in foreign currency extended to unhedged borrowers. Banks engaged in FX lending are exposed to indirect exchange rate risk (as a component of credit risk) through currency mismatches on their clients’ balance sheets. A significant depreciation of Polish zloty would translate into an increase of value of outstanding debt (also in relation to the value of collateral) as well as in the flow of payments to service the debt. As a result, the debt-servicing capacity of unhedged domestic borrowers would deteriorate, leading to a worsening the financial condition of the private sector. The reduction of borrower’s ability to service the loan and lower recovery rate affects the loan portfolio quality, increases banks’ loan losses. This effect can be mitigated or intensified by foreign interest rates of extended FX loans (i.e. LIBOR). The borrower’s ability to service such loan depends strongly on FX rate but also on monetary authorities from abroad. Therefore both risks are linked and should be considered together. This paper presents the statistical analysis of the dependence of foreign interest rates and FX rate of Polish zloty using measures of dependence, amongst others, copula function approach.

PL

Jednym z najważniejszych zagrożeń stabilności finansowej w Polsce jest stosunkowo wysoki udział kredytów bankowych w walutach obcych udzielonych niezabezpieczonym kredytobiorcom. Banki które udzielały kredytów walutowych są narażone pośrednio na ryzyko kursowe (jako element ryzyka kredytowego) za sprawą niedopasowania walutowego w bilansach swoich klientów. Znacząca deprecjacja złotego przekłada się na wzrost wartości zadłużenia (również w stosunku do wartości zabezpieczenia), jak również na bieżące płatności kredytobiorcy. W rezultacie, zdolność obsługi zadłużenia przez niezabezpieczonych kredytobiorców krajowych uległaby pogorszeniu, co prowadzi do pogorszenia się kondycji finansowej sektora prywatnego. Zmniejszenie zdolności kredytobiorcy do obsługi kredytu i niższy poziom odzysku mają wpływ na jakość portfela kredytowego i zwiększają straty kredytowe banków. Efekt ten może być zmniejszony lub zwiększony przez zagraniczne stopy procentowe obowiązujące dla udzielanych kredytów walutowych (np. LIBOR). Zdolność kredytobiorcy do obsługi takiego kredytu zależy nie tylko od kursu walutowego, ale również od władz monetarnych z zagranicy. Dlatego oba ryzyka są ze sobą powiązane i powinny być rozpatrywane łącznie. W artykule przedstawiono analizę statystyczną zależność zagranicznych stóp procentowych i kursu złotego przy użyciu miar zależności, między innymi, podejście za pomocą funkcji copula.

11

Calibration of a credit rating scale for Polish companies

93%

WÓJCICKA A.

Operations Research and Decisions

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2012

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vol. 22

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issue 3

63-73

EN

Increasing number of bankruptcy announcements means that even greater attention is being paid to the correct evaluation of the probability of default (PD) and decisions made on the basis of it. Reliable estimation of the likelihood of a company’s bankruptcy reduces risk, not only for the company itself but also for all co-operating companies and financial institutions. The financial crisis has led to a tightening up of the conditions for gaining finance from banks. However, it is not only the evaluation of PD itself that is so important but also the correct classification of companies according to their PD level (“good” or “bad” companies). There is very little consideration about possible adjustments of the credit risk scale, as usually the American scale is adopted with no changes which seems incorrect. This paper stresses the importance of correct calibration of the credit rating scale. It should not be assumed (as it was in the past) that once a scale is defined it remains fixed and independent of the country. Therefore, the research carried out on Polish companies shows that the credit rating scale should be changed and the default point (i.e. “cut-off” point) should be higher than in the past. The author uses a modified classification matrix based on the probability of default. The paper compares the classification of quoted Polish companies according to their credit risk level (PD) with the actual occurrence of default when various default “cut-off” points are used.

12

Determinants of the non-performing loan ratio in the European Union banking sectors with a high level of impaired loans

93%

Ciukaj R., Kil K.

Economics and Business Review

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2020

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vol. 6(20)

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issue 1

22-45

EN

In the article an attempt is made to identify the quality of credit exposure determinants of banks in European Union countries that were characterized by a high level of impaired loans at the end of 2017 (Bulgaria, Croatia, Cyprus, Italy, Ireland, Greece, Portugal). Using the static panel-based approach the non-performing loan (NPL) determinants for the period from 2011 to 2017 were analyzed. The results showed that the high level of NPLs can be explained mainly by both macroeconomic and microeconomic factors. In particular, it has been shown that in the surveyed countries supervisory authorities should pay special attention to smaller banks with high dynamics of new loans and a low return on assets due to the fact that these entities are characterized by a higher NPL ratio. A higher level of NPL is also affected by a high concentration of the banking sector and higher interest rates on newly granted loans. As a result of research it was also shown that the majority of NPL determinants are the same in all types of banks, regardless of the business model and the scope of banking supervision. The differences were noticeable in characteristics regarding the housing market as well as the profitability of operations and lending dynamics of the analyzed entities.

13

Quantification of the credit risk of banks in Bosnia and Herzegovina regarding the individual members of the EU

93%

Alihodžić A.

Nauki o Finansach

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2017

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issue 4(33)

9-21

EN

Credit risk is the most important risk among all other risks in the banking business, because almost over 80% of bank balance sheets relate to this segment of banking risk management. One of the biggest problems of commercial banks in Bosnia and Herzegovina are non-performing loans whose share in total loans has increased significantly since the onset of the global financial crisis. The main objective of the research is to determine which of the macroeconomic variables have the strongest impact on the increase of return on average equity and whether it is possible to reduce the credit risk of banks with adequate legislation as the main factor in the slowdown in credit expansion. The main goal will be to divide the impact of an independent variable, i.e. the share of liquid assets in total assets and whether its increase indirectly affects the return on equity and indirectly, the credit risk. The quantitative model used in this study will be the Merton model. Testing will be conducted through multiple regression analysis for the period 2008-2016 with the help of the software package STATA.

14

Wpływ rekomendacji nadzorczych na kształtowanie się rynku kredytów mieszkaniowych w Polsce

93%

Willmann M.

Nauki o Finansach

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2013

|

issue 1 (14)

204-255

EN

The correct risk identification, its measurement and setting its acceptable level are the basis for credit risk management in every bank, as well as the whole banking system. The last subprime crisis in the USA clearly showed that irresponsible behaviour of market participants may destabilise the financial system, causing serious consequences, both social and economic, not only for the banking system of a particular country, but also for the global financial system. The new areas of risk which are emerging nowadays force local as well as international regulators and supervisors to take serious actions in order to limit this risk and prevent any future crisis. In the following dissertation actions taken by the Polish banking supervisor, concerning mortgage loans, have been analyzed in order to establish the impact they have had on the development of the mortgage market, as well as quality and safety of its credit portfolio for the Polish banking system. The considerations were mostly based on the analysis of supervisory recommendations published by Polish Financial Supervision Authority. They describe good practices in the field of retail credit risk management (Recommendation T) as well as residential mortgage loans and loans secured by mortgage (Recommendation S). The content also includes references to EU regulations.

15

A comparative study of corporate credit ratings prediction with machine learning

93%

DOĞAN S., BÜYÜKKÖR Y., ATAN M.

Operations Research and Decisions

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2022

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vol. 32

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issue 1

25-47

EN

Credit scores are critical for financial sector investors and government officials, so it is important to develop reliable, transparent and appropriate tools for obtaining ratings. This study aims to predict company credit scores with machine learning and modern statistical methods, both in sectoral and aggregated data. Analyses are made on 1881 companies operating in three different sectors that applied for loans from Turkey’s largest public bank. The results of the experiment are compared in terms of classification accuracy, sensitivity, specificity, precision and Mathews correlation coefficient. When the credit ratings are estimated on a sectoral basis, it is observed that the classification rate considerably changes. Considering the analysis results, it is seen that logistic regression analysis, support vector machines, random forest and XGBoost have better performance than decision tree and k-nearest neighbour for all data sets.

16

THE ATTEMPT TO CREATE AN INTERNAL CREDIT RISK RATING OF PRODUCTION COMPANIES WITH THE USE OF OPERATIONAL RESEARCH METHOD

93%

Chodakowska E., Wardzinska K.

Metody Ilościowe w Badaniach Ekonomicznych

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2013

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vol. 14

|

issue 1

74-83

EN

In the article the ratings developed by Moody's Corporation, Standard & Poor's Ratings Services and financial data of Polish windows manufactures were analyzed. Ratings published by international agencies were compared with an independently developed rating. Authors made an attempt to verify the hypothesis whether the internal rating created by means of operational research method, significantly differs from the ratings prepared by international rating agencies. In the article mathematical possibilities of potential changes in credit rating were presented.

17

Vintage analysis as a basic tool for monitoring credit risk

93%

Siarka P.

Mathematical Economics

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2011

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issue 7 (14)

213-228

EN

Among many tools used by bankers in the process of credit risk management, vintage analysis is the most often applied. Its simplicity and clarity of interpretation of the results means that banking professionals call it “basic analysis”. In this article, the concept of vintage analysis is presented, along with the right way to get interpretations of results. The author demonstrates the usefulness of vintage analysis in the context of the backtesting procedure recommended in New Basel Capital Accord. In addition, there is also a discussion of an aspect of the limit‟s structure as a part of the credit risk management process.

18

Credit risk mangement in finance - a review of various approaches

93%

WÓJCICKA-WÓJTOWICZ A.

Operations Research and Decisions

|

2018

|

vol. 28

|

issue 4

99-106

EN

Classification of customers of banks and financial institutions is an important task in today’s business world. Reducing the number of loans granted to companies of questionable credibility can positively influence banks’ performance. The appropriate measurement of potential bankruptcy or probability of default is another step in credit risk management. Among the most commonly used methods, we can enumerate discriminant analysis models, scoring methods, decision trees, logit and probit regression, neural networks, probability of default models, standard models, reduced models, etc. This paper investigates the use of various methods used in the initial step of credit risk management and corresponding decision process. Their potential advantages and drawbacks from the point of view of the principles for the management of credit risk are presented. A comparison of their usability and accuracy is also made.

19

Rozwój metod ilościowych w bankowości

93%

Siarka P.

Didactics of Mathematics

|

2011

|

issue 8 (12)

127-134

PL

Over the past two decades we have seen many changes in the banking world due to the development of the banking market and also due to the development of quantitative methods, which allow us to estimate the level of banking risks with greater accuracy. Mathematical models, which are developed by teams of analysts and then implemented in the banking systems, are evidence of practical application of mathematics in finance. Implemented by leading banks in the world, mathematical models set the direction of development of risk management process for the entire banking industry. These achievements are the subject of ongoing research by the Basel Committee, whose recommendations create global banking standards. Over the last twenty years, the Basel Committee has recommended several methods of risk analysis to protect the world banking system. In this article the author focuses on the analysis of credit risk, which evolved in cooperation with the Basel Committee. Thus, some suggestions are presented with respect to teaching banking risks in the context of knowledge of quantitative methods.

20

Macroeconomic Determinants of Credit Risk on the Example of Non-performing Loans

93%

Zawadzki A.

Central European Economic Journal

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2023

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vol. 10

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issue 57

275-286

EN

The primary goal of this article is to examine the principal macroeconomic factors influencing credit risk as assessed by the nonperforming loan ratio (hereinafter NPL ratio). Based on the results, the ratio of domestic credit to the private sector, Organization for Economic Cooperation and Development (OECD) membership with a negative correlation with NPLs while the unemployment rate and the ratio of public debt with a positive relation with NPLs were statistically significant. In addition, the correlation between the inflation rate and the depreciation of the home currency wasproven. The research examines the effects of the 2008 credit crunch, which triggered the financial crisis. The sample comprises106 countries for the period 2009–2019. The real GDP growth, unemployment rate, public debt ratio, domestic credit to private sector ratio, currency depreciation, inflation rate, and interest rate were analysed as macroeconomic factors. A dummy variable representing OECD membership has been included in the analysis. The estimations were performed using the ordinary least squares (OLS) method. This article contributes to the academic discourse on the panel data perspective with regard to non-performing loans, while the practical implications are beneficial for governments and international investors.

Refine search results

Makroekonomiczne determinanty ryzyka kredytowego w Polsce ze szczególnym uwzględnieniem kursów walut obcych

Concentration of credit exposure as a significant source of risk in banking activities: the idea and methods of estimation

Credit rating a ryzyko kredytowe emitenta

APPLICATION OF MIGRATION MATRICES TO RISK EVALUATION AND THEIR IMPACT ON PORTFOLIO VALUE

The comparison on determination methods of loss distribution in credit portfolio in CreditRisk+ model

Exposure at default. The problem of its estimation in the context of capital requirements

Classification of Trade Sector Entities in Credibility Assessment Using Neural Networks

The issue of pd estimation – a practical approach

System informacyjny banku – integracja procesów zarządzania ryzykiem kredytowym

Credit risk of FX loans in Poland. Interest and FX rate Dependence

Calibration of a credit rating scale for Polish companies

Determinants of the non-performing loan ratio in the European Union banking sectors with a high level of impaired loans

Quantification of the credit risk of banks in Bosnia and Herzegovina regarding the individual members of the EU

Wpływ rekomendacji nadzorczych na kształtowanie się rynku kredytów mieszkaniowych w Polsce