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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modelování kreditního a systémového rizika v sektoru neživotního pojištění</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

83-88

Název nakladatele

Czech University of Life Sciences Prague

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

8. 9. 2021

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000936369700013