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An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System

Author

Listed:
  • Bostjan Aver

    (Vzajemna d.v.z., Slovenia)

Abstract

The study presents the results of an analysis of credit risk factors of the Slovenian banking system. The objective of the empirical analysis is to establish which macroeconomic factors influence the systematic credit risk of the Slovenian banking loan portfolio. The research results have confirmed the main hypothesis that certain macroeconomic factors have a major influence on the examined credit risk.We could conclude that the credit risk of the loan portfolio depends on the employment or unemployment rate in Slovenia, on short and long-term interest rates of Slovenian banks and the Bank of Slovenia, and on the value of the Slovenian stock exchange index. We cannot claim that the examined credit risk depends on the inflation rate in Slovenia, the growth of GDP (industrial production), EUR and USD exchange rates or the growth of Slovenian import and export.

Suggested Citation

  • Bostjan Aver, 2008. "An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 6(3), pages 317-334.
    • Handle: RePEc:mgt:youmgt:v:6:y:2008:i:3:p:317-334
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    File URL: http://www.fm-kp.si/zalozba/ISSN/1581-6311/6_317-334.pdf
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    References listed on IDEAS

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    1. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    2. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
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    Cited by:

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    3. Kharisya Ayu Effendi & Rozmita Dewi Yuniarti, 2018. "Credit Risk And Macroeconomics Of Islamic Banking In Indonesia," Journal of Smart Economic Growth, , vol. 3(1), pages 45-56, Juin.
    4. Siti Nor Amira Mohamad & Mohamad Yazis Ali Basah & Muhammad Ridhwan Ab. Aziz, 2018. "Credit Risk Management: Exploring Current Practices and Important Elements in Business Financing Decisions," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 8(5), pages 553-567, May.
    5. Zakaria Savon, 2025. "Credit-risk determinants of Islamic banks in Jordan: Macroeconomic conditions and monetary policy," Post-Print hal-05011821, HAL.
    6. Muhammad Waqas & Nudrat Fatima & Aryan Khan & Muhammad Arif, 2017. "Determinants of Non-performing Loans: A Comparative Study of Pakistan, India, and Bangladesh," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 6(1), pages 51-68, January.
    7. Obed I. Ojonta & Divine N. Obodoechi & Paschaline N. Ugwu, 2021. "Start-up Capital Source and Credit Access Participation of Household Nonfarm Enterprises in Nigeria: Evidence from Logistic Regression Model," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 19(3 (Fall)), pages 249-267.
    8. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
    9. Tochukwu Timothy Okoli, 2020. "Is the Relationship between Financial Technology and Credit Risk Monotonic? Evidence from the BRICS Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(9), pages 999-1011, September.
    10. Maxwell Sandada & Agness Kanhukamwe, 2016. "The study sought to analyse the factors that lead to rising credit risk in the Zimbabwean banking sector," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(1), pages 80-94, February.
    11. Martin Guth, 2022. "Predicting Default Probabilities for Stress Tests: A Comparison of Models," Papers 2202.03110, arXiv.org.
    12. Shahari Farihana & Md. Saifur Rahman, 2021. "Can profit and loss sharing (PLS) financing instruments reduce the credit risk of Islamic banks?," Empirical Economics, Springer, vol. 61(3), pages 1397-1414, September.
    13. Asia Aman, 2019. "Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions," JRFM, MDPI, vol. 12(4), pages 1-13, September.
    14. Fatima Zohra Marouf & Zeyneb Guellil, 2017. "The Macroeconomic Determinants of Credit Risk: The Algerian Banking System," MIC 2017: Managing the Global Economy; Proceedings of the Joint International Conference, Monastier di Treviso, Italy, 24–27 May 2017,, University of Primorska Press.
    15. Avenir Lleshanaku, 2015. "From the Perspectives of Macroeconomic Factors: The Past and Future of Problematic Loans in Albania," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 4, March.
    16. Sudarso Kaderi Wiryono & Kharisya Ayu Effendi, 2018. "Islamic Bank Credit Risk: Macroeconomic and Bank Specific Factors," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 53-62.
    17. Mohammed T. Abusharbeh, 2022. "Determinants of credit risk in Palestine: Panel data estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3434-3443, July.
    18. repec:uii:journl:v:7:y:2015:i:2:p:120-134 is not listed on IDEAS
    19. Iulia Andreea Bucur & Simona Elena Dragomirescu, 2014. "The Influence Of Macroeconomic Conditions On Credit Risk: Case Of Romanian Banking System," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 19.
    20. Michael Adusei & Ngozi Adeleye & Beatrice Sarpong‐Danquah, 2022. "Legal cost of contract enforcement and nonperforming loans: Is credit information sharing relevant?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(6), pages 2501-2514, September.
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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