Credit Risk Determinants: Evidence from the Bulgarian Banking System

dc.contributor.author Petros Golitsis
dc.contributor.author Athanasios P. Fassas
dc.contributor.author Anna Lyutakova
dc.date.accessioned 2022-05-03T10:27:34Z
dc.date.available 2022-05-03T10:27:34Z
dc.date.issued 2019-03-19
dc.description.abstract The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country.
dc.identifier.citation ​Golitsis, P., Fassas, A.P., & Lyutakova, A. (2019). Credit Risk Determinants: Evidence from the Bulgarian Banking System. Bulletin of Applied Economics, 6(1). pp. 41-64.
dc.identifier.issn https://ssrn.com/abstract=3518366
dc.identifier.uri https://s455778.name-servers.gr/handle/123456789/65
dc.language.iso en
dc.publisher SSRN
dc.title Credit Risk Determinants: Evidence from the Bulgarian Banking System
dc.type Article
dspace.entity.type
Files
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed to upon submission
Description: