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Study On Credit Risk Management In Commercial Banks

Author

Listed:
  • RODEAN Maria-Daciana

    (Lucian Blaga University of Sibiu)

  • GRIGOROI Lilia

    (ASEM, Chisinau, Republica Moldova)

  • MINCULETE Georgiana Daniela

    (Lucian Blaga University of Sibiu, Romania)

Abstract

Inadequate credit risk management is likely to lead a credit institution' bankruptcy. There are many techniques of this risk management some of which aimed at early warning models of depreciation loan portfolio (Credit Risk +, CreditPortfolio View, KMV etc.), while, the other part is to monitor the credit risk to the borrowers. The study undertaken proposed a credit scoring model, applied to legal entities, designed to identify their insolvency risk. The model was built based on the results obtained by 35 commercial companies (belonging to industry and production) listed on the Bucharest Stock Exchange, for a period of 3 years, between 2012-2014. Of these companies, 8 are in the default condition, meaning 23% of the sample size considered. The selected indicators express the debt repayment capacity, the profitability and the liquidity of the analyzed entities. The most relevant indicator used into the model was appreciated to be banking debt recovery term. The tests applied have demonstrated the model' validity (graininess principle, the power of discrimination).

Suggested Citation

  • RODEAN Maria-Daciana & GRIGOROI Lilia & MINCULETE Georgiana Daniela, 2016. "Study On Credit Risk Management In Commercial Banks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 68(4), pages 163-176, December.
    • Handle: RePEc:blg:reveco:v:68:y:2016:i:4:p:163-176
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    More about this item

    Keywords

    credit risk; credit scoring model; liquidity; profitability; banking debt recovery term.;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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