Awijen Haithem, Ben Zaied Younes, Hunjra Ahmed Imran
Inseec Grande École, Omnes Education Group, Paris, France.
OCRE, EDC Paris Business School, Paris, France.
Comput Econ. 2022 Nov 1:1-27. doi: 10.1007/s10614-022-10336-5.
Assessing the financial stability of the banking industry, particularly in credit risk management, has become extremely crucial in times of uncertainty. Given that, this paper aims to investigate the determinants of the interconnectedness of sectoral credit risk default for developing countries. To that purpose, we employ a dynamic credit risk model that considers a variety of macroeconomic indicators, bank-specific variables, and household characteristics. Moreover, the SURE model is used to analyze empirical data. We find the connection between macroeconomic, bank-specific, and household characteristics, and sectoral default risk. The outcomes of macroeconomic factors demonstrate that few macroeconomic determinants significantly influence the sector's default risk. The empirical results of household components reveal that educated households play a substantial role in decreasing sectoral loan defaults interconnectedness and vice versa. While for bank-specific characteristic, we find that greater bank profitability and specialization have substantially reduced loan defaults.
评估银行业的金融稳定性，尤其是在信用风险管理方面，在不确定性时期已变得极为关键。鉴于此，本文旨在研究发展中国家部门信用风险违约相互关联的决定因素。为此，我们采用了一个动态信用风险模型，该模型考虑了各种宏观经济指标、银行特定变量和家庭特征。此外，还使用了似不相关回归（SURE）模型来分析实证数据。我们发现了宏观经济、银行特定和家庭特征与部门违约风险之间的联系。宏观经济因素的结果表明，少数宏观经济决定因素对该部门的违约风险有显著影响。家庭因素的实证结果显示，受过教育的家庭在降低部门贷款违约关联性方面发挥着重要作用，反之亦然。而对于银行特定特征，我们发现银行盈利能力和专业化程度的提高大幅降低了贷款违约率。
