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dc.contributor.author
Papadopoulos, Alexandros
en
dc.date.accessioned
2015-06-30T09:33:34Z
dc.date.available
2015-09-27T06:04:57Z
dc.date.issued
2015-06-30
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/604
dc.rights
Default License
dc.title
Macroeconomic and bank-specific determinants of credit risk in the US banking system
en
heal.type
masterThesis
heal.keywordURI.LCSH
Credit risk
heal.keywordURI.LCSH
Financial Crisis
heal.keywordURI.LCSH
Recession
heal.keywordURI.LCSH
Impaired Loans
heal.keywordURI.LCSH
US Banking System JEL Classification: G21, G010, G210
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2015-01
heal.bibliographicCitation
Papadopoulos Alexandros ,2015, Macroeconomic and bank-specific determinants of credit risk in the US banking system, Master's Dissertation, International Hellenic University
en
heal.abstract
We have all experienced the past seven years the consequences of the recent financial crisis that surely has a large impact in our lives. The recession is still on the track and major government and financial institution still try to find a solution or a way out.
As we know this crisis started bursting out in the United States in 2007, with the collapse of sub-prime backed securities (US housing bubble) and the toxic effect they had to several investors that had exposure to these securities.
So we depict that this crisis underscored the importance of understanding financial instability especially in the context of managing credit risk with particular emphasis on the banking sector.
Some say that we are at the end of this crisis, others on the other hand believe that the recent recession will remain in our lives for many years to come. I believe that we owe to study and monitor constantly the factors that started the crisis because new things may come up that can help us solve or understand it. The purpose of this research is to study the factors (macroeconomic and bank specific) that affect credit risk in the US banking system. We should not forget that this is the banking system that “exported” the recession in many other countries including Greece also.
en
heal.tableOfContents
ABSTRACT ...................................................................................................................... IV
ACKNOWLEDGEMENTS .................................................................................................... I
PREFACE .......................................................................................................................... II
CONTENTS ........................................................................................................................ V
INTRODUCTION ................................................................................................................ 1
LITERATURE REVIEW ........................................................................................................ 3
METHODOLOGY AND RESEARCH DESIGN ....................................................................... 5
DATA ANALYSIS ................................................................................................................ 7
VARIABLE ANALYSIS .......................................................................................................... 7
MODEL SPECIFICATION - HAUSMAN TEST ........................................................................... 10
FIXED EFFECTS MODEL ANALYSIS ...................................................................................... 13
MODEL TESTING ............................................................................................................. 20
PESARAN’S CD TEST ....................................................................................................... 20
MODIFIED WALD TEST FOR HETEROSKEDASTICITY ................................................................. 21
WOOLDRIDGE TEST FOR AUTOCORRELATION ........................................................................ 21
DRISCOLL – KRAAY STANDARD ERRORS REGRESSION.................................................. 22
CONCLUSION .................................................................................................................. 25
REFERENCES .................................................................................................................... 27
en
heal.advisorName
Kosmidou, Dr.Kyriaki
en
heal.committeeMemberName
Kosmidou
en
heal.committeeMemberName
Andriosopoulos
en
heal.committeeMemberName
Leventis
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
41
heal.fullTextAvailability
false
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