Πιστωτικός κίνδυνος στο τραπεζικό σύστημα των ΗΠΑ: μια εμπειρική διερεύνηση

Γεδεών, Βασιλική

Credit risk in the U.S. banking system: an empirical analysis

Master Thesis

Author

Γεδεών, Βασιλική

Date

2014-06

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Μεταπτυχιακή εργασία (24.13Mb)

Subject

Τραπεζικά δάνεια -- Ηνωμένες Πολιτείες Αμερικής ; Τράπεζες και τραπεζικές εργασίες -- Ηνωμένες Πολιτείες Αμερικής ; Bank loans -- United States ; Banks and banking -- United States ; Credit analysis ; Credit -- United States

Abstract

This paper focuses on the analysis and clarification of the credit risk in the U.S. banking system, by examining the behavior of non-performing loans. The key question which this study is called to answer is how much can non-performing loans affect the course of the financial system of a country (in this case the USA). The theoritical review section conceptually clarifies the functions of the banking system and presents the financial risks. It also refers to Basel I, II and III. Certain factors, which were suggested by the theoretical literature and were found to influence the non-performing loans, affect the dependent variable in the sample of our study as well. The key question which this study is called to answer is how much can non- performing loans affect the course of the financial system of a country (in this case the USA). We tried to export conclusions on the existence long-term relationship between the variable and after we saw that they become stagnant in the first differences, it detects a long-term relationship between. Αfterwards, we tried to analyze the Granger Causality and we found out there is causal relationship between specific variables. Finally at the end of the paper it presents the results in a model with three independent variables. Based to the analysis of this model, we conclude to the statistically important variables that effect the non-performing loans.