Abstract
In this paper, the specific data about some Chinese major listed commercial banks, combined with our country’s macroeconomic variables factors, were used to analyze the influence of these factors on the credit risk of commercial banks by mixed effects model. According to our analysis, we arrived at the conclusions: the credit risk of commercial bank is not only influenced by the bank itself, but also significantly affected by the others macroeconomic factors; mixed effect model can explain the differences and changes of the inter-bank credit risk. In the end of the paper, we pointed out: commercial banks should be reasonable to adjust the region and magnitude of credit and decentralize loads in the time, so as to effectively avoid the feasible serious consequences leaded by economic cycle, which could guarantee their revenue in effect, improve ability of withstanding risks, and enhance competitiveness.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Jakubik P (2006) Does credit risk vary with economic cycles? The Case of Finland, IES Working Paper
Koopman S, Lucas A (2005) Business and default cycles for credit risk. J Appl Econ 20:311–323
Laird NM, Ware JH (1982) Random-effects models for longitudinal data. Biometrics 38(4):963–974
Pesaran M, Schuermann T (2003) Credit risk and macroeconomic dynamics
Pinheiro JC, Bates DM (2000) Mixed-effects models in S and S-PLUS. Springer, New York
Sun L (2005) Pro-cyclicality of commercial bank and credit riskmetrics. Shanghai Financ 3:28–30
Venables WN, Ripley BD (2002) Modern applied statistics with S, 4th edn. Springer, New York
Acknowledgements
This research was supported by Lixin Accounting Research Institute ‘Building Financial Risk Model of Chinese Listed Companies’ under Grant 07KJYJ18.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2011 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Aiyuan, T., Sihong, Z. (2011). Analysis of the Factors Influencing Credit Risk of Commercial Banks. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_13
Download citation
DOI: https://doi.org/10.1007/978-3-642-19339-2_13
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-19338-5
Online ISBN: 978-3-642-19339-2
eBook Packages: Business and EconomicsBusiness and Management (R0)