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Are Thai Banks Vulnerable?: Structural Analysis of Bank Corporate Loan Portfolio and Implications

Author

Listed:
  • Don Nakonthab

    (Bank of Thailand)

  • Krongkaeo Kritayakirana

    (Bank of Thailand)

  • Sukonpat Chantapant

    (Bank of Thailand)

Abstract

This paper attempts to gauge the vulnerability of the Tahi banking system. Our analysis consists of three main areas. First, we use the publicly available information to construct a few basic financial ratios. Following a conventional analysis, we find that the industry is in reasonably good health and stability. Since the corporate loan portfolio constitutes the largest exposure within the banking sector, we focus the second part of our analysis on the structural risk profiles of these corporate loans. Using the Bank of Thailand's system-wide database, we document the default rates and default correlation matrices at both the aggregate (country portfolio) and the disaggregate levels with respect to size and industry, the two crudest but important credit risk drivers of a corporate loan portfolio. Last, we conduct an analysis of the loan pricing and estimate economic profits achieved by different banks in the last four years.

Suggested Citation

  • Don Nakonthab & Krongkaeo Kritayakirana & Sukonpat Chantapant, 2007. "Are Thai Banks Vulnerable?: Structural Analysis of Bank Corporate Loan Portfolio and Implications," Working Papers 2007-03, Monetary Policy Group, Bank of Thailand.
    • Handle: RePEc:bth:wpaper:2007-03
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    File URL: http://www.bot.or.th/Thai/EconomicConditions/Semina/symposium/Symposium_DocLoad/paper3_krongkaeo.pdf
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    References listed on IDEAS

    as
    1. Don Nakornthab, 2007. "Thai Commercial Banks One Decade after the Crisis: Assessment of Risk to Financial Stability," Working Papers 2007-07, Monetary Policy Group, Bank of Thailand.
    2. AfDB AfDB, . "AfDB Group Annual Report 2006," Annual Report, African Development Bank, number 62 edited by Koua Louis Kouakou.
    3. מחקר - ביטוח לאומי, 2007. "Annual Survey 2006," Working Papers 20, National Insurance Institute of Israel.
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    Cited by:

    1. Schou-Zibell, Lotte & Albert, Jose Ramon & Song, Lei Lei, 2010. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Working Papers on Regional Economic Integration 43, Asian Development Bank.
    2. Kiatipong Ariyapruchya & Sukonpat Chantapant & Tosapol Apaitan, 2011. "Dealing with Structural Change: A Diagnosis of the Thai Economy," Working Papers 2011-04, Monetary Policy Group, Bank of Thailand.
    3. Don Nakornthab, 2007. "Thai Commercial Banks One Decade after the Crisis: Assessment of Risk to Financial Stability," Working Papers 2007-07, Monetary Policy Group, Bank of Thailand.

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