Stress Tests Scenarios: An Approach to Determining the Effect of Credit Risk on Loans, Capital Adequacy and Bank Efficiency: A Comparative Study in a Sample of Commercial Banks from Iraq, Qatar, and
DOI:
https://doi.org/10.25007/ajnu.v12n4a1573الملخص
While most of the previous studies have dealt with the impact of a number of factors on non-performing loans, this paper is an attempt to verify the influence of non-performing loans on each loan, capital adequacy and bank efficiency. This study is carried out within a Stress Tests framework as a comparative applied study conducted on the data of a sample of commercial banks in Iraq, Qatar, and the United States of America for the period from 2018-2020.
The Stress Tests method with a single factor is adopted according to three scenarios ranging in intensity from light, medium, and high intensity. The test is conducted using Excel and E-views V.12 programs, and the findings show that the three banks in the sample have been exposed to credit risk in the third scenario of high severity. The results show that the banks in the sample have been exposed to three Stress Tests scenarios to varying degrees. Additionally, there has been a negative relationship and effect of the credit risk through non-performing loans on loans, capital adequacy ratio and bank efficiency.
التنزيلات
المراجع
Alton, R. G., & Hazen, J. H., (2001). As Economy Flounders: Do we see a rise in problem loans, Federal Reserve Bank of St. Louis, USA.
- Amuakwa–Mensah, F. and Boakye–Adjei, A., (2015). Determinants of non–performing loans in Ghana banking industry, International Journal of Computational Economics and Econometrics, Inderscience Enterprises, Vol. 5 No. 1, PP. 35-54.
- Athanasoglou, P., Manthos, D., and Staikouras, C., (2008). Determinants of bank profitability in the south eastern European region. Munich Personal RePEc Archive, Available from: https://mpra.ub.unimuenchen.de/10274.
- Borio, C., Drehmann, M., & Tsatsaronis, K., (2014). Stress-testing macro stress testing:
does it live up to expectations ?, Journal of Financial Stability, 12, PP.3-15.
- Čihák, M., (2004). Stress Testing: A Review of Key Concepts, Czech National Bank Research Policy Note, Working Pares, No. 4/2.
- Čihák, M., (2007). Introduction to Applied Stress Testing, International Monetary Fund. IMF Working Papers, No. 7/59.
- Constant, F.D. and Ngomsi, A., (2012). Determinants of bank long-term lending behavior in the Central African economic and monetary community (CEMAC), Review of Economics and Finance, Better Advances Press, Canada, Vol. 2, PP. 107-114.
- Daley, J. and Matthews, K., (2009). Measuring Bank Efficiency: Tradition or Sophistication? A Note, Cardiff Economics Working Papers, No. 24, Cardiff, Wales, UK.
- Düllmann, K., & Masschelein, N., (2007). A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios. Journal of Financial Services Research, 32(1-2), PP.55–79.
- Faisal, A., and Masood, O., (2020). How Do Large Commercial Banks Adjust Capital Ratios: Empirical Evidence from the US ?, Economic Research, Vol. 33, Issue 1, PP. 1849-1866.
- Handley, N.J., (2010). Growth in a time of debt, CFA Digest, Vol. 40, No. 3, PP. 19-20.
- Hobelt, J., (2019). Bank Stress Tests: Implications on Accounting Discretion, Transparency and Market Discipline, PhD Thesis submitted to the University of Sussex for the degree of Doctor of Philosophy in Finance, University of Sussex, UK.
- Horton, M., Potters, Ch., and Munichiello, K., (2021). The Difference Between Profitability and Profit, https://www.investopedia.com.
- Hu, J., Li, Y. and CHIU, Y., (2004). Ownership and nonperforming loans: evidence from Taiwan’s banks, The Developing Economies, Wiley Online Library, Vol. 42 No. 3, PP. 405-420.
- Ivanovic, M., (2016). Determinants of credit growth: the case of Montenegro, Journal of Central Banking Theory and Practice, Vol. 5 No. 2, PP. 101-118.
- Khan, M.A., Siddique, A., and Sarwar, Z,. (2020). Determinants of non-performing
loans in the banking sector in developing state, Asian Journal of Accounting Research Vol. 5 No. 1, PP. 135-145.
- Koju, L., Koju, R. and Wang, S., (2018). Macroeconomic and bank-specific determinants of non-performing loans: evidence from Nepalese banking system, Journal of Central Banking Theory and Practice, Vol. 7 No. 3, PP. 111-138.
- Kumar, V. and Kishore, M.P., (2019). Macroeconomic and bank specific determinants of non-performing loans in UAE conventional bank, Journal of Banking and Finance Management, Vol. 2 No. 1, PP. 1-12.
- Makri, V., Tsagkanos, A. and Bellas, A., (2014). Determinants of non-performing loans: the case of Eurozone, Panoeconomicus, Vol. 61 No. 2, PP. 193-206.
- Michael, J.N., (2006). Effect of non-performing assets on operational efficiency of central co-operative banks, Indian Economic Panorama, Vol. 16 No. 3, PP. 33-39.
- Onder, S., Damar, B., and Ali, A., (2016). Macro Stress Testing and an Application
on Turkish Banking Sector, Procedia Economics and Finance, 38: PP. 17 – 37.
- Ong, L.L., and Jobst, A. A., (2020). Stress Testing: Principles, Concepts, and Frameworks, International Monetary Fund Publishing, Washington DC, USA.
- Singh, S. K., Basuki, B., and Setiawan, R., (2021). The Effect of Non-Performing Loan on Profit: Empirical Evidence from Nepalese Commercial Banks Journal of Asian Finance, Economics and Business Vol 8 No 4, PP. 709–716.
- Sorge, M. and Virolainen, K., (2006). A comparative analysis of macro stress-testing methodologies with application to Finland. Journal of Financial Stability, 2(2), PP.113–151.
- Tang My, S., and Quoc, A., (2022). The Relationship between Credit Risk and Bank Financial Stability: The Mediating Role of Bank Profitability, Journal of Hunan University (Natural Sciences), Vol. 49, No. 1 January, PP. 263-271.
- Rouabah, A. & Theal, J., (2010). Stress Testing: The Impact of Shocks on the Capital Needs of the LUXEMBOURG Banking Sector, Central Bank of Luxembourg, Working Papers, N.47.
- Vasilopoulos, C., (2007). Financial Stress Testing: A model based exploration under deep uncertainty, Delft University of Technology Faculty Technology, Policy and Management, Master Engineering and Policy Analysis, EPA Msc Thesis Project.
- Vazqueza, F; Benjamin, M. T.; & Soutoa, M., (2012). A macro stress test model of credit risk for the Brazilian banking sector, Journal of Financial Stability Volume 8, Issue 2, April, PP. 69-83.
التنزيلات
منشور
كيفية الاقتباس
إصدار
القسم
الرخصة
الحقوق الفكرية (c) 2023 المجلة الأكاديمية لجامعة نوروز
![Creative Commons License](http://i.creativecommons.org/l/by-nc-nd/4.0/88x31.png)
هذا العمل مرخص بموجب Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
بيان الحقوق الفكرية
حقوق التأليف
يوافق المؤلفون الذين ينشرون في هذه المجلة على المصطلحات التالية:
١. يحتفظ المؤلفون بحقوق الطبع والنشر ومنح حق المجلة في النشر الأول مع العمل المرخص له في نفس الوقت بموجب ترخيص المشاع الإبداعي [سيسي بي-نك-ند 4.0] الذي يسمح للآخرين بمشاركة العمل مع الإقرار بحقوق التأليف والنشر الأولي في هذه المجلة.
٢. يمكن للمؤلفين الدخول في ترتيبات تعاقدية إضافية منفصلة للتوزيع غير الحصري للنسخة المنشورة من المجلة من العمل (على سبيل المثال، نشرها في مستودع مؤسسي أو نشرها في كتاب) مع الإقرار بنسخة أولية نشر في هذه المجلة.
٣. يسمح للمؤلفين وتشجيعهم على نشر عملهم عبر الإنترنت (على سبيل المثال، في المستودعات المؤسسية أو على موقعهم على الويب) قبل وأثناء عملية التقديم، حيث يمكن أن يؤدي إلى التبادلات الإنتاجية، فضلا عن الاستشهاد المبكر والأكبر للعمل المنشورة ( انظر تأثير النفاذ المفتوح).
نقل حقوق الطبع والنشر
بيان الخصوصية
المجلة الأكاديمية لجامعة نوروز ملتزمة بحماية خصوصية مستخدمي موقع المجلة هذا. سيتم استخدام الأسماء والتفاصيل الشخصية وعناوين البريد الإلكتروني التي تم إدخالها في هذا الموقع الإلكتروني فقط للأغراض المعلنة لهذه المجلة ولن يتم إتاحتها لأطراف ثالثة بدون إذن المستخدم أو الإجراءات القانونية الواجبة. موافقة المستخدمين مطلوبة لتلقي الاتصالات من المجلة الأكاديمية لجامعة نوروز للأغراض المعلنة للمجلة. ويمكن توجيه الاستفسارات المتعلقة بالخصوص إلى [email protected]