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A broader indicator of credit risk in Italian banks, based on total non-performing loans flow

Author

Listed:
  • Vincenzo Chiorazzo

    (ABI)

  • Francesco Masala

    (ABI)

  • Pierluigi Morelli

    (ABI)

Abstract

This paper contributes to the literature on bank risk with a cross-sectional analysis of the bank-specific determinants of risk using a new indicator calculated for a sample of 38 Italian banks in the period 2006-2012 and expressed as flow of the amount of new non- performing loans. The results confirm the main conclusions offered by literature and highlight, in particular, that a higher growth of credit risk occurs in banks less efficient and less profitable, with an higher interest income and capital on total assets. The results also document that the correlation between size and risk is an inverted U shape to mean that the positive effects of the size on the risk dynamics begin to occur only after a certain threshold

Suggested Citation

  • Vincenzo Chiorazzo & Francesco Masala & Pierluigi Morelli, 2014. "A broader indicator of credit risk in Italian banks, based on total non-performing loans flow," BANCARIA, Bancaria Editrice, vol. 5, pages 23-49, Mayl.
    • Handle: RePEc:ban:bancar:v:05:y:2014:m:may:p:23-49
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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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