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Factor Analysis of Credit Risk in Romania

Author

Listed:
  • Apostu Simona-Andreea

    (Bucharest University of Economic Studies)

Abstract

All lending institution is confronted with credit risk and therefore assumes it. So it is necessary to analyze the dynamics of credit risk, the effects on profitability, capital adequacy and, very important, but also difficult to quantify, the general trust in the institution (Berríos M.R., 2013). In order to assess the correlations between credit risk and other financial variables, a database was created in SPSS program packages and the factor analysis was performed. The analysed variables are: Credit Risk Rate, Economic Profitability, Non-performing Loans, Rate of Return, Leverage Effect, Solvency Ratio and Return on Equity (Pinches, 1973). It was established that for Romania for the analysed period are strong correlations between all variables analyzed.

Suggested Citation

  • Apostu Simona-Andreea, 2017. "Factor Analysis of Credit Risk in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 499-504, December.
    • Handle: RePEc:ovi:oviste:v:xvii:y:2017:i:2:p:499-504
    as

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    References listed on IDEAS

    as
    1. Ghada Ali TIMRAZ & Faris Nasif AL-SHUBIRI, 2012. "The Impact Of Stock Options Trading On The Market Value Of Companies Listed In Kuwait Stock Exchange," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(3), pages 63-76, September.
    2. Pinches, George E & Mingo, Kent A, 1973. "A Multivariate Analysis of Industrial Bond Ratings," Journal of Finance, American Finance Association, vol. 28(1), pages 1-18, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    credit risk; solvency; equity; leverage; principal component analysis;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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