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Impact of Placement Choices and Governance Issues on Credit Risk in Banking: Nonparametric Evidence from an Emerging Market

Author

Listed:
  • Erol Muzir

    (Yalova University, Faculty of Economic and Administrative Sciences, Department of Management)

Abstract
This paper is intended to develop some conditional credit risk models through a cursory approach in which any quality deteriorations in banks’ cash credit portfolios, measured as unfavourable changes in the ratio of delinquent credits to total credits, are considered to be a signal for an increase in overall credit risk and the weights of credit segments in entire portfolio are used as predictors. In modelling, two separate studies with consolidated and non- consolidated financial statement data covering the time period between March 2003 and March 2009 have been carried out. Our models based on Neural Networks and Multivariate Adaptive Regression Splines provide significant evidence that dynamic structure of credit portfolios are among the important determinants of credit risk. Furthermore, there exist some findings supporting the active role of macroeconomic conditions and our network models yield sound proofs suggesting that corporate governance concerns are influential on credit risk and quality.

Suggested Citation

  • Erol Muzir, 2013. "Impact of Placement Choices and Governance Issues on Credit Risk in Banking: Nonparametric Evidence from an Emerging Market," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 3(4), pages 1-6, August.
    • Handle: RePEc:spp:jkmeit:1402
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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