This paper examines systemic and specific factors that increased the credit risk level in the Serbian banking sector between 2008 and 2014, by applying the vector autoregression model (VAR), logit and probit. Business cycle and RSD depreciation are the most important systemic determinants of credit risk in the corporate sector, while in the retail sector these determinants represent a deterioration of the business and financial situation, based on a rise in the unemployment rate and nonperforming loans, together with domestic currency depreciation and the effects of the solidarity tax. Banks that entered the crisis with a lower level of capital, higher level of portfolio concentration in their 50 biggest borrowers, and with restrictions on the owner supporting the bank by providing additional capital in the period of credit risk increase, have been more exposed to default and more inclined to overestimate their good assets in their reports. The influence of RSD depreciation and the economic interrelation of clients represent an increase in the credit risk level.

Мировне мисије Уједињених нација и глобализација Апстракт: У раду се, у кратким цртама, разматрају неки од савремених изазова повезаних са процесима глобализације и њиховим утицајем на мировне мисије Уједињених нација. Мировне мисије постале су најуочљивији концепт рада Уједињених нација и њихов значајан раст у последњој деценији XX века постао је један од основних одговора међународне заједнице на тренутне кризе. Процеси глобализације су ушли у турбулентан период и стварају огромне изазове за међународну безбедност, стабилност и просперитет. Ако Уједињене нације, као глобална организација задужена за очување међународног мира и безбедности, теже да буду најважнији део међународног механизма деловања на глобалне безбедносне изазове, мораће стрпљиво и у потпуности да разматрају, разумеју и решавају све изазове планирања и реализације мировних мисија под њиховим окриљем.

The financial system of Serbia is highly bank-centric and euroised, which is a common specific feature of financial systems in developing countries. High level of euroisation represents an adequate environment for the development of emphasized interaction of foreign exchange and credit risks; therefore, creation of the spillover mechanism of foreign exchange risk to credit risk is immanent for euroised systems. Although maintaining the stability of the dinar exchange rate is a secondary goal of the National Bank of Serbia in relation to price and financial stability as the primary goals, in terms of existence of the aforesaid spillover mechanism, maintaining stability of the dinar exchange rate represents the area where there is an interaction between the goals of monetary policy (price stability) and those of financial stability policy (maintaining and strengthening the financial system’s stability). In order to explore whether the spillover mechanism of foreign exchange risk to credit risk exists in Serbia’s financial system, the vector autoregressive (VAR) model is applied on data from the Serbian banking sector to quantify the impact of changes in the dinar exchange rates on the rate of non-performing loans (NPLs); the sample was formed in the period of increased instability of the dinar exchange rate, from 31 January 2008 to 31 December 2010. As we have quantitatively confirmed the impact of increase in the dinar exchange rate on the increase of 90-120 days past due NPLs, we can conclude that the existence of expressed interaction between foreign exchange risk and credit risk in the Serbian financial system represents a paradigm of the regulator’s need to achieve contemporary goals of monetary and financial stability policy by maintaining relative stability of the dinar exchange rates. Depreciation of the local currency has inflationary pressure on price stability and simultaneously influences the achievement of financial stability goals through the spillover mechanism of foreign exchange risk to credit risk. In addition to taking systematic measures to reduce the level of euroisation and introduce the specific regulatory requirements, in order to protect banks and clients from the dinar exchange rate volatility, the regulator faces extremely important task of maintaining relative stability of the dinar exchange rate as the instrument to simultaneous achievement of goals of monetary and financial stability policies.

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The spread of the infection through the banking network is a consequence of the impact of the economic connection among clients. The third group of banks (banks with high levels of credit risk) takes over the effects of systemic factors and transfers their influence to the second and the first group (banks with average and below-average credit risk level) through the banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk taking with risk capacity to a group of banks that exhibited an excessive risk propensity far beyond their own risk-taking capacity. There is also the confirmation that moral hazard was an important determinant of credit risk and an additional impulse to spread credit contagion.