Determinants of credit risk - the case of Serbia

Jović, Željko

doi:10.2298/eka1712155j

Cited by 6 publications

(6 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Obzirom na to kao i da standard ne propisuje posebne zahteve za izradu modela, preporučuje se izrada sopstvenih modela ekonomskih scenarija koji će, što je i razumljivo, uzimati u obzir karakteristike pojedinačne banke, njenih klijenata, averzije prema riziku, različitog nacionalnog ili lokalnog ambijenta i mnogih drugih faktora. Primera radi, u radovima domaćih autora date su neke specifične odrednice kreditnog rizika u Republici Srbiji imajući u vidu strukturu ekonomije i bankarskog sektora, uticaj evroizacije u bankarskom sistemu i tako dalje (Jović, 2017). Dakle, te i mnoge druge faktore je potrebno imati u vidu prilikom izrade makroekonomskog scenarija obzirom da ni standard ne propisuje univerzalno i jedinstveno rešenje.…”

Section: Macroeconomic Scenarios -Some Methodological Aspectsunclassified

“…For example, the papers of domestic authors provide some specific determinants of credit risk in the Republic of Serbia given the structure of its economy and its banking sector, the impact of euroization in its banking sector, etc. (Jović, 2017). These and many other factors must be taken into account during the preparation of a macroeconomic scenario given that the standard does not prescribe the universal and unique solution.…”

Section: Analiza Ključnih Indikatoramentioning

confidence: 99%

See 1 more Smart Citation

IFRS 9 implementation in banks and macroeconomic scenarios: Some methodological aspects

Brkovic¹

2017

Bankarstvo

View full text Add to dashboard Cite

Prevod obezbedio autor RezimeMeđunarodni standard finansijskog izveštavanja 9 (International Financial Reporting Standard 9 -IFRS) predstavlja još jednu u nizu inicijativa na globalnom nivou preduzetu u cilju saniranja posledica globalne svetske ekonomske i finansijske krize kao i prevencije budućih negativnih dešavanja do kojih može da dovede neadekvatno priznavanje i iskazivanje kreditnih gubitaka banaka. IFRS 9 predstavlja i važan zaokret u pogledu na tradicionalno računovodstvo obzirom da se umesto koncepta nastalih kreditnih gubitaka uvodi koncept očekivanih kreditnih gubitaka. Ovaj zadatak tradicionalno i konzervativno računovodstvo ne može da ispuni bez uključivanja makroekonomskih modela procene odnosno makroekonomskih scenarija. Ovaj rad ima za cilj da ukaže ne neke specifične metodološke osnove u makroekonomskim analizama i prognozama kao inpute u računovodstvenom obuhvatanju i prikazivanju očekivanih kreditnih gubitaka.Ključne reči: IFRS 9, makroekonomski scenario, očekivani kreditni gubitak JEL: F42, G21, M41 Primljen: 12.06.2017. Prihvaćen: 12.09.2017 SummaryThe International Financial Reporting Standard 9 -IFRS is another one in the series of global level initiatives undertaken with a view to fixing the consequences of the global economic and financial crisis, and preventing the future negative developments caused by inadequate recognition and presentation of credit losses on the part of banks. The IFRS 9 also represents a significant shift in relation to traditional accounting, given that it introduced the concept of expected credit losses to replace the concept of occurred credit losses. This task cannot be fulfilled by the traditional and conservative accounting without involving the macroeconomic assessment models, i.e. macroeconomic scenarios. This paper aims to highlight some specific methodological rudiments in macroeconomic analyses and forecasts as inputs for the accounting recognition and presentation of expected credit losses.Keywords: IFRS 9, macroeconomic scenario, expected credit loss JEL: F42, G21, M41 Received: 12.06.2017 Accepted: 12.09.2017 doi: 10.5937/bankarstvo1703036BMilan Brković Association of Serbian Banks milan.brkovic@ubs-asb.com UvodRecentna iskustva svetske ekonomske i finansijske krize ukazala su na značaj koji neblagovremeno priznavanje kreditnih gubitaka ima na finansijski rezultat banke. Finansijski rezultat iskazan kroz finansijske izveštaje banaka podloga je za donošenje odluka značajnog broja subjekata nezavisno od toga da li se radi o akcionarima ili kreatorima ekonomske i finansijske politike. Uzroci odnosno posledica svetske ekonomske i finansijske krize najčešće se u ovom smislu iskazuju kao too little to late princip, odnosno da je do priznavanja nastalih gubitaka dolazilo prekasno ili nedovoljno. To je bio i povod za inicijativu o transformaciji pravila utvrđenih Međunarodnim računovodstvenim standardom 39 (International Accounting Standard 39 -IAS) koga je zamenio IFRS 9. Suštinska razlika u ovoj izmeni svodi se na to da više nije neophodno da se kreditni...

show abstract

Section: Macroeconomic Scenarios -Some Methodological Aspectsunclassified

Section: Analiza Ključnih Indikatoramentioning

confidence: 99%

IFRS 9 implementation in banks and macroeconomic scenarios: Some methodological aspects

Brkovic¹

2017

Bankarstvo

View full text Add to dashboard Cite

show abstract

“…There is also some evidence in Serbia of the presence of moral hazard as well as the determinant of credit risk in banking sector, as studied by Jović (2017). Moral hazard indicator is defined as measures of a bank's tendency to overestimate good assets.…”

Section: Literature Reviewmentioning

confidence: 99%

Interbank Network as a Channel of Credit Contagion in Banks: Is Moral Hazard Transferable?

Jović

Daković

2022

Journal of Central Banking Theory and Practice

View full text Add to dashboard Cite

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.

show abstract

“…As shown in the previous section, there a number of academic literatures which covered the issue of NPL's determinants in different countries context (Ghosh, 2017;Chaibia & Ftiti, 2015;Jović, 2017;Abid , Ouertani, & Zouari-Ghorbel, 2014 and others). Unlike most research, the present study considers the issue from the single country perspective.…”

Section: 1model Specification and Description Of Study Variablesmentioning

confidence: 99%

Determinates of Credit Risk in Ethiopian Commercial Banks

Tole¹,

Jabir²,

Wolde³

2019

jafas

View full text Add to dashboard Cite

This study is concerned with identifying the determinants of credit risk in Ethiopian Commercial Banks. We collected secondary data from the audited financial statement of eight senior commercial banks for the period of 14 years. To analyze the data, a fixed effect ordinary list square model was applied. Finally, the study found out macroeconomic and micro variables affect the level of credit risk in Ethiopian commercial banking industry.

show abstract

Determinants of credit risk - the case of Serbia

Cited by 6 publications

References 22 publications

IFRS 9 implementation in banks and macroeconomic scenarios: Some methodological aspects

IFRS 9 implementation in banks and macroeconomic scenarios: Some methodological aspects

Interbank Network as a Channel of Credit Contagion in Banks: Is Moral Hazard Transferable?

Determinates of Credit Risk in Ethiopian Commercial Banks

Contact Info

Product

Resources

About