Efficiency of Credit Risk Management and Their Determinants in Central European Banking Industries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10252997" target="_blank" >RIV/61989100:27510/21:10252997 - isvavai.cz</a>
Result on the web
<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Efficiency of Credit Risk Management and Their Determinants in Central European Banking Industries
Original language description
Credit risk is one of the major risks in commercial banks. Therefore, whether commercial banks conduct effective credit risk management and employ technology changes with the times are essential. The main aim of this study is to evaluate the performance of credit risk management and productivity change and identify the determinants. We employ the Data Envelopment Analysis (DEA) on selected commercial banks in the Czech Republic, Germany, Republic of Austria, Poland, and Hungary. Based on valid data from 2012 to 2019, selected banks received lower efficiency scores using variable returns to scale in line with expectations. Additionally, strong evidence from the Malmquist Index demonstrated that the selected banking industries have various improvements during the past 8 years due to innovation in credit risk management. Furthermore, logistic regression results emphasized the significant differences among banking industries and suggested the credit risk measurement (SA/IRB), size, capital adequacy, and ownership have significant influences on the likelihood of banks being efficient on credit risk management.
Czech name
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Czech description
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Project
<a href="/en/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modeling credit risk and system risk in the non-life insurance sector.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MME2021 : Proceedings of the 39th International Conference on Mathematical Methods in Economics : 8th - 10th September 2021, Prague, Czech Republic, EU
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
83-88
Publisher name
Czech University of Life Sciences Prague
Place of publication
Praha
Event location
Praha
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700013

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