Credit Risk Determinants: Evidence from the Bulgarian Banking System

@inproceedings{Golitsis2019CreditRD,
  title={Credit Risk Determinants: Evidence from the Bulgarian Banking System},
  author={Petros Golitsis and Athanasios Fassas and Anna Lyutakova},
  year={2019}
}
The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have… CONTINUE READING