Impact de risque de crédit et de liquidité sur la stabilité bancaire

Impact of liquidity and credit risks on the bank stability

Tijani Amara and Mohamed Mabrouki

MPRA Paper from University Library of Munich, Germany

Abstract: The global financial crisis has induced a series of failures of most conventional banks. This study investigates the main sources of banking fragility. We use a sample of 49 banks operating in the Tunisian over the period 2006-2015 to analyze the relationship between credit risk and liquidity risk and its impact on bank stability. Our results show that credit risk and liquidity risk do not have an economically meaningful reciprocal contemporaneous or time-lagged relationship. However, both risks separately affect bank stability and their interaction contributes to bank instability. These findings provide bank managers with more understanding of bank risk and serve as an underpinning for recent regulatory efforts aimed at strengthening the joint risk management of liquidity and credit risks.

Keywords: Credit risk; Liquidity risk; Bank stability; Z-Score (search for similar items in EconPapers)
JEL-codes: C01 G00 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ara and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95453

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