Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2018 | 11 | nr 2 | 63--75
Tytuł artykułu

Factors that Increase Credit Risks of Azerbaijani Banks

Treść / Zawartość
Warianty tytułu
Języki publikacji
The main purpose of this paper is to analyze the influencing factors behind credit risks in Azerbaijani banks. Within this scope, we analyzed 10 biggest banks of Azerbaijan with respect to their asset size. Furthermore, 10 explanatory variables were used to achieve this objective. Annual data for the period between 2010 and 2015 was tested using the panel logit methodology. According to the results of our analysis, it was defined that 4 independent variables affect credit risk of Azerbaijani banks. It was also determined that decrease in the capital adequacy ratio, interest rate and total assets leads to increasing credit risk. We have also identified that there is a positive relationship between unemployment rate and the credit risk of Azerbaijani banks. Therefore, it can be stated that Azerbaijani banks should increase their capital adequacy ratio and total assets amount in order to minimize the negative effects from the credit risk problem. (original abstract)
Słowa kluczowe
Opis fizyczny
  • Khazar University, Azerbaijan State University of Economics (UNEC), Azerbaijan
  • İstanbul Medipol University, Turkey
  • Khazar University, Azerbaijan State University of Economics (UNEC), Azerbaijan
  • Adeyemi, B. (2011). Bank Failure in Nigeria: A Consequence of Capital Inadequacy, Lack of Transparency and Non-performing Loans?. Banks and Bank Systems, 6(1), 99-109.
  • Aebi, V., Sabato, G., & Schmid, M. (2012). Risk Management, Corporate Governance, and Bank Performance in the Financial Crisis. Journal of Banking & Finance, 36(12), 3213-3226.
  • Albert, J. H., & Chib, S. (1993). Bayesian Analysis of Binary and Polychotomous Response Data. Journal of the American Statistical Association, 88(422), 669-679.
  • Altman, E. I., Caouette, J. B., Narayanan, P., & Nimmo, R. (1998). Managing Credit Risk. NY: John Wiley & Sons Ltd.
  • Berger, A. N., & DeYoung, R. (1997). Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking & Finance, 21(6), 849-870.
  • Bielecki, T. R., & Rutkowski, M. (2013). Credit Risk: Modeling, Valuation and Hedging. Springer Science & Business Media.
  • Bluhm, C., Overbeck, L., & Wagner, C. (2016). Introduction to Credit Risk Modeling. CRC Press.
  • Boudriga, A., Boulila Taktak, N., & Jellouli, S. (2009). Banking Supervision and Nonperforming Loans: A Cross-country Analysis. Journal of Financial Economic Policy, 1(4), 286-318.
  • Castro, V. (2013). Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI. Economic Modelling, 31, 672-683.
  • Chaibi, H., & Ftiti, Z. (2015). Credit Risk Determinants: Evidence from a Cross-country Study. Research in International Business and Finance, 33, 1-16.
  • Ćurak, M., Pepur, S., & Poposki, K. (2013). Determinants of Non-performing Loans-evidence from Southeastern Banking Systems. Banks & Bank System, 8(1), 45-54.
  • Çağıl, G., & Mukhtarov, S. (2014). Azerbaycan Ticari Bankacılık Sektörünün CAMELS Yöntemi ile Performans Analizi. Journal of Marmara University Social Sciences Institute/Öneri, 11(41), 77-94.
  • Das, A., & Ghosh, S. (2007). Determinants of Credit Risk in Indian State-owned Banks: An Empirical Investigation. Economic Issues-Stoke On Trent, 12(2), 1-21.
  • Duffie, D., & Singleton, K. J. (2003). Credit Risk. Princeton, New Jersey.
  • Espinoza, R. A., & Prasad, A. (2010). Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects. IMF Working Papers, 1-24.
  • Farhan, M., Sattar, A., Chaudhry, A. H., & Khalil, F. (2012). Economic Determinants of Non-Performing Loans: Perception of Pakistani Bankers. European Journal of Business and Management, 4(19), 87-99.
  • Gezu, G. (2014). Determinants of Nonperforming Loans: Empirical Study in Case of Commercial Banks in Ethiopia (Doctoral dissertation, Jimma University).
  • Graham, A., & Coyle, B. (2000). Framework for: Credit Risk Management. Global Professional Publishing.
  • Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica: Journal of the Econometric Society, 424-438.
  • Gray, D. F., Merton, R. C., & Bodie, Z. (2007). Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk. Journal of Investment Management, 5(4), 1-42.
  • Greenidge, K., & Grosvenor, T. (2010). Forecasting Non-performing Loans in Barbados. Journal of Business, Finance and Economics in Emerging Economies, 5(1), 80-107.
  • Heffernan, S. (2005). Modern Banking. John Wiley & Sons.
  • Homburg, C., Nasev, J., Reimer, K., & Uhrig-Homburg, M. (2016). Does Cost Management Affect Credit Risk?. Available at SSRN 2792085.
  • Jarrow, R. A., & Turnbull, S. M. (2000). The Intersection of Market and Credit Risk. Journal of Banking & Finance, 24(1), 271-299.
  • Karabulut, G. (2003). Bankacılık Sektöründe Sermaye Karlılık İlişkisi: Türk Bankacılık Sistemi Üzerine Bir İnceleme. İstanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 28, 169-177.
  • Karim, M. Z. A., Chan, S. G., & Hassan, S. (2010). Bank Efficiency and Non-performing Loans: Evidence from Malaysia and Singapore. Prague Economic Papers, 19(2), 118-132.
  • Khemraj, T., & Pasha, S. (2009, August). The Determinants of Non-performing Loans: An Econometric Case Study of Guyana. In Caribbean Centre for Banking and Finance Bi-annual Conference on Banking and Finance, St. Augustine, Trinidad.
  • Klein, N. (2013). Non-performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance, IMF Working Paper No. 13/72.
  • Konstantakis, K. N., Michaelides, P. G., & Vouldis, A. T. (2016). Non-Performing Loans (NPLs) in a Crisis Economy: Long-run Equilibrium Analysis with a Real-Time VEC Model for Greece (2001-2015). Physica A: Statistical Mechanics and its Applications, 451, 149-161.
  • Kwan, S. H., & Eisenbeis, R. A. (1995). Bank Risk, Capitalization and Inefficiency. Capitalization and Inefficiency (January 1995), 96-35.
  • Levin, A., Lin, C., & Chu, C.J. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1-24.
  • Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012). Macroeconomic and Bank-specific Determinants of Non-performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios. Journal of Banking & Finance, 36(4), 1012-1027.
  • Maggi, B., & Guida, M. (2011). Modelling Non-performing Loans Probability in the Commercial Banking System: Efficiency and Effectiveness related to Credit Risk in Italy. Empirical Economics, 41(2), 269-291.
  • Makri, V., Tsagkanos, A., & Bellas, A. (2014). Determinants of Non-performing Loans: The Case of Eurozone. Panoeconomicus, 61(2), 193-206.
  • Mammadov, Z., & Mukhtarov, S. (2014). Public Supervision in Banking Sector: Case of Azerbaijan, Journal of Qafqaz University, 2(1), 29-40.
  • Mandacı, P.E. (2003). Türk Bankacılık Sektörünün Taşıdığı Riskler ve Finansal Krizi Aşamada Kullanılan Risk Ölçüm Teknikleri. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5(1), 67-84.
  • Messai, A. S., & Jouini, F. (2013). Micro and Macro Determinants of Non-performing Loans. International Journal of Economics and Financial Issues, 3(4), 852-860.
  • Mileris, R. (2012). Macroeconomic Determinants of Loan Portfolio Credit Risk in Banks. Engineering Economics, 23(5), 496-504.
  • Misra, B. M., & Dhal, S. (2010). Pro-cyclical Management of Banks' Non-performing Loans by the Indian Public Sector Banks. BIS Asian Research Papers.
  • Mishra, U., & Naidu, M. P. (2016). A Study on Credit Risk Management and Appraisal Process at Punjab National Bank, Nagpur. International Journal of Multifaceted and Multilingual Studies, 3(2), 1-9.
  • Moyer, S. E. (1990). Capital Adequacy Ratio Regulations and Accounting Choices in Commercial Banks. Journal of Accounting and Economics, 13(2), 123-154.
  • Neal, R. S. (1996). Credit Derivatives: New Financial Instruments for Controlling Credit Risk. Economic Review-Federal Reserve Bank of Kansas City, 81(2), 15-28.
  • Peek, J., & Rosengren, E. S. (2000). Implications of the Globalization of the Banking Sector: the Latin American Experience. New England Economic Review, 45-63.
  • Rajan, R., & Dhal, S. C. (2003). Non-performing Loans and Terms of Credit of Public Sector Banks in India: An Empirical Assessment. Occasional Papers, 24(3), 81-121.
  • Richard, E. (2011). Factors that Cause Non-performing Loans in Commercial Banks in Tanzania and Strategies to Resolve Them. Journal of Management Policy and Practice, 12(7), 16-23.
  • Rodrik, D., & Subramanian, A. (2009). Why did Financial Globalization Disappoint?. IMF Staff Papers, 56(1), 112-138.
  • Saba, I., Kouser, R., & Azeem, M. (2012). Determinants of Non Performing Loans: Case of US Banking Sector. The Romanian Economic Journal, Year XV, 44, 141-152.
  • Sassen, S. (1999). Globalization and Its Discontents: Essays on the New Mobility of People and Money (Vol. 9). New York: New Press.
  • Siddiqui, S., Malik, S. K., & Shah, S. Z. (2012). Impact of Interest Rate Volatility on Non-Performing Loans in Pakistan. International Research Journal of Finance and Economics, 84, 66-70.
  • Sinkey, J. F. (1983). Commercial Bank Financial Management. New York: Macmillan.
  • Sinkey Jr, J. F., & Greenawalt, M. B. (1991). Loan-loss Experience and Risk-taking Behavior at Large Commercial Banks. Journal of Financial Services Research, 5(1), 43-59.
  • Škarica, B. (2014). Determinants of Non-performing Loans in Central and Eastern European Countries. Financial Theory and Practice, 38(1), 37-59.
  • Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. (2016). Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit risk. In Development in India (pp. 199-236). Springer India.
  • Teker, S., Bolgün, K. E., & Akçay, M. B. (2005). Banka Sermaye Yeterliliği: Basel II Standartlarının Bir Türk Bankasına Uygulanması. Elektronik Sosyal Bilimler Dergisi, 3(12), 42-54.
  • Vogiazas, S. D., & Nikolaidou, E. (2011). Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek crisis. Economics Research International, 1-13.
  • Wei, S. H., & Chen, S. M. (2009). A New Approach for Fuzzy Risk Analysis based on Similarity Measures of Generalized Fuzzy Numbers. Expert Systems with Applications, 36(1), 589-598.
  • Yağcılar, G. G., & Demir, S. (2015). Türk Bankacılık Sektöründe Takipteki Kredi Oranları Üzerinde Etkili Olan Faktörlerin Belirlenmesi. Journal of Alanya Faculty of Business/Alanya Isletme Fakültesi Dergisi, 7(1), 221-229.
  • Yüksel, S. (2016). Bankacılık Krizlerinin Erken Uyarı Sinyalleri: Türkiye Üzerine Bir Uygulama. Akademisyen Kitabevi, 1. Baskı, Ankara.
  • Yüksel, S., Mukhtarov, S.,& Mammadov, E. (2016). Comparing the Efficiency of Turkish and Azerbaijani Banks: An Application with Data Envelopment Analysis, International Journal of Economics and Financial Issues, 6(3), 1059-1067.
  • Yüksel, S., Mukhtarov, Mahmudlu, C., Mikayilov, J.I., & Iskandarov, A. (2018). Measuring International Migration in Azerbaijan. Sustainability, 10(132), 1-15. doi:10.3390/su10010132
  • Zhang, Q., & Wu, C. (2016). A Research on the Comprehensive System of Performance Evaluation of Rural Microfinance. International Journal of u-and e-Service, Science and Technology, 9(2), 29-40.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.