Πιστωτικός κίνδυνος σε τραπεζικά δάνεια
Master Thesis
Date
2012-03-01View/
Subject
Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Πιστωτικός κίνδυνος ; Τραπεζικά δάνεια ; Πιστωτικός έλεγχος -- Οικονομετρικά μοντέλα ; Ανάλυση παλινδρόμησηςAbstract
The aim of this study is the empirical research into the factors affecting the amount which must be kept by each credit institution as a reserve, in order to face losses in the loan portfolio, known as loan loss reserves. Under the rules of Basel II supervisory framework, credit institutions should set, through form of loan loss reserves-loan loss allowance, their own capital levels to the amount of the requirements that remain in default for more than three years following the date they became delinquent (charge-offs), in case special provisions have not been made for these requirements. Via the selection of suitable variables that have appeared in numerous academic studies, we try to discover their explanatory power on the contingency reserves of the US banks in a period marked by both upward and downward trends of the US and the global economy. The analysis is performed with regression analysis comprising cross-sectional and time series data using the panel data method. The sample refers to almost the total of the US banks in all the USA States, while the analysis relates to the period 2001-2009. In the first chapter, the meanings of provisions and reserves are introduced and subsequently, in the second chapter a thorough examination of credit risk and capital adequacy is being done on the basis of the rules of Basel Ι & ΙΙ and in the third chapter an overview is attempted more specifically of the empirical literature mainly on an international level. Furthermore, the fourth chapter includes an econometric analysis that is followed in this study and in the fifth chapter; the findings of the latter analysis are reported. Finally, in the sixth chapter a synopsis is done with the main results of this study.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές