Credit Risk Management and Measurement Econometric and Empirical Model in the Banking System
Keywords:
Banking System; Credit Risk; Stress-test analysis; Herfindahl-Hirscham Index (IHH); Econometric modelAbstract
The scientific paper begins with research on the financial-credit stability of the banking system in Kosovo, in the Western Balkan countries, in the Eurozone and beyond, to analyze the importance and effect of indicators on the stability of the banking system. This research paper focuses on management, analysis and measurement of credit risks. Firstly, the performance of the banking system is analyzed in different periods (specifically during the last 10 years), making comparability with other countries. Then, the financial- credit risk indicators are analyzed through: empirical time series analysis, credit shock analysis, credit index analysis, descriptive analysis, factorial analysis, reliability analysis. Finally, in order to protect the banking system from the failure or decline of financial stability at all times and continually the quality of loans and other assets should be assessed. This paper will assist future researchers for further analysis in different countries.
References
Anderson, R. (2007). The credit scoring toolkit (Theory and practice for retail risk management and decision automation). New York: Oxford University Press.
André, L. & Bernd, S. & Xin, Zh. (2014). Measuring Credit Risk in a Large. Duisenberg school of finance - Tinbergen Institute Discussion Paper, Faculty of Economics and Business Administration, VU University Amsterdam.
Bandyopadhyay, A. (2016). Managing Portfolio Credit Risk in Banks. India: Cambridge University Press.
Bank, Central. (2015). Financial stability report. Pristina: CBK.
Banks, E. (1993). Credit risk of financial instruments. London: Macmillan Press LTD.
Central Bank of the Republic of Kosovo. (2016). Financial Stability Report. Pristina: CBK.
Central Bank of the Republic of Kosovo. (2017). Stability financial report. Pristina: CBK.
Central Bank of the Republic of Kosovo. (2018). Financial stability report. Pristina: CBK.
Central Bank of the Republic of Kosovo. (2014). Financial Stability Report. Pristina: CBK.
Central Bank of the Republic of Kosovo. (2019). Financial stability report. Pristina: CBK.
Changjung, Zh & Niluthpaul, S. & Shamsun, N. (2018). Factors affecting bank credit risk: An empirical insight. Journal of Applied Finance & Banking.
Chatterjee, S. (2015). Modelling credit risk. Centre for Central Banking Studies, Bank of England, Threadneedle Street, London, EC2R 8AH: Bank of England.
European Central Bank. (2015). Modeling financial sector. ECB.
Hager, S. (2008). Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms. Germany.
Ochola, O. J. (2010). Credit risk management. University of Nairobi.
Rongda, Ch. & Huanhuan, Y. (2014). Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model. Hindawi.
Gestel, V. T & Baesens. B (2009). Credit Risk Management. New York: Oxford University.
Wagner, N. (2008). Credit Risk (Models, Derivates and Management). London: CRC Press.
Published
How to Cite
Issue
Section
License
The author fully assumes the content originality and the holograph signature makes him responsible in case of trial.
