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Impact de risque de crédit et de liquidité sur la stabilité bancaire
[Impact of liquidity and credit risks on the bank stability]

Author

Listed:
  • Amara, Tijani
  • Mabrouki, Mohamed

Abstract

The global financial crisis has induced a series of failures of most conventional banks. This study investigates the main sources of banking fragility. We use a sample of 49 banks operating in the Tunisian over the period 2006-2015 to analyze the relationship between credit risk and liquidity risk and its impact on bank stability. Our results show that credit risk and liquidity risk do not have an economically meaningful reciprocal contemporaneous or time-lagged relationship. However, both risks separately affect bank stability and their interaction contributes to bank instability. These findings provide bank managers with more understanding of bank risk and serve as an underpinning for recent regulatory efforts aimed at strengthening the joint risk management of liquidity and credit risks.

Suggested Citation

  • Amara, Tijani & Mabrouki, Mohamed, 2019. "Impact de risque de crédit et de liquidité sur la stabilité bancaire [Impact of liquidity and credit risks on the bank stability]," MPRA Paper 95453, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:95453
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    References listed on IDEAS

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    More about this item

    Keywords

    Credit risk ; Liquidity risk ; Bank stability ; Z-Score;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • G00 - Financial Economics - - General - - - General

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