STUDY ON CREDIT RISK MANAGEMENT IN COMMERCIAL BANKS

Maria-Daciana Rodean, Lilia Grigoroi and Georgiana Daniela Minculete
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Maria-Daciana Rodean: Lucian Blaga University of Sibiu
Lilia Grigoroi: ASEM, Chisinau, Republica Moldova
Georgiana Daniela Minculete: Lucian Blaga University of Sibiu, Romania

Revista Economica, 2016, vol. 68, issue 4, 163-176

Abstract: Inadequate credit risk management is likely to lead a credit institution' bankruptcy. There are many techniques of this risk management some of which aimed at early warning models of depreciation loan portfolio (Credit Risk +, CreditPortfolio View, KMV etc.), while, the other part is to monitor the credit risk to the borrowers. The study undertaken proposed a credit scoring model, applied to legal entities, designed to identify their insolvency risk. The model was built based on the results obtained by 35 commercial companies (belonging to industry and production) listed on the Bucharest Stock Exchange, for a period of 3 years, between 2012-2014. Of these companies, 8 are in the default condition, meaning 23% of the sample size considered. The selected indicators express the debt repayment capacity, the profitability and the liquidity of the analyzed entities. The most relevant indicator used into the model was appreciated to be banking debt recovery term. The tests applied have demonstrated the model' validity (graininess principle, the power of discrimination).

Keywords: credit risk; credit scoring model; liquidity; profitability; banking debt recovery term. (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2016
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