Estimating Credit Risk Capital: What's the Use?

2001 ◽  
Vol 2 (3) ◽  
pp. 17-34 ◽  
Author(s):  
PAUL KUPIEC
Keyword(s):  
Credit Risk ◽  
Risk Capital

The relationship between risk, capital and efficiency in Indian banking: Does ownership matter?

2019 ◽  
Vol 11 (2) ◽  
pp. 218-231
Author(s):  
Sanjukta Sarkar ◽  
Rudra Sensarma ◽  
Dipasha Sharma
Keyword(s):  
Public Sector ◽  
Credit Risk ◽  
Large Data ◽  
Foreign Banks ◽  
Risk Capital ◽  
Lower Efficiency ◽  
Data Set ◽  
Content Type ◽  
Balance Sheets ◽  
Indian Banks

Purpose This paper aims to examine the interplay between risk, capital and efficiency of Indian banks and study how their relationship differs across different ownership types. Design/methodology/approach Panel regression techniques are used to analyze a large data set of all Indian scheduled commercial banks operating during the period 2008-2016. Findings The results show that lower efficiency is associated with higher credit risk in the case of public sector and old private sector banks (”bad management hypothesis”). However, higher efficiency leads to higher credit risk in the case of foreign banks (“cost skimping hypothesis”). The authors further find that the more efficient institutions among public sector hold more capital. Finally, they find that the better-capitalized banks among those in the public sector have lower risks on their balance sheets (“moral hazard hypothesis”). Originality/value There is a paucity of papers on the interplay between risk, capital and efficiency of banks in emerging economies. This paper is the first to study the inter-relationship between risk, capital and efficiency of Indian banks across ownership groups using a number of different measures of risk.

scholarly journals PENGARUH RISIKO KREDIT DAN TINGKAT KECUKUPAN MODAL TERHADAP PROFITABILITAS PERBANKAN YANG LISTING DI BEI PERIODE 2015-2019

2021 ◽  
Vol 10 (2) ◽  
pp. 228-237
Author(s):  
Kiki Nadillah ◽  
Puji Muniarty
Keyword(s):  
Risk Analysis ◽  
Credit Risk ◽  
Sampling Technique ◽  
Capital Adequacy ◽  
Risk Capital ◽  
Purposive Sampling ◽  
Simultaneous Test ◽  
Profitability Analysis ◽  
Credit Risk Analysis ◽  
Level Analysis

Abstrak: Pengaruh Risiko Kredit Dan Tingkat Kecukupan Modal Terhadap Profitabilitas Perbankan Yang Listing Di BEI Periode 2015-2019. Penelitian bertujuan untuk mengetahui pengaruh Risiko Kredit dan Tingkat Kecukupan Modal Terhadap Profitabilitas Perbankan yang Listing Di BEI Periode 2015-2019 dan ada 43 perbankan listing di BEI. Sample diambil 10 perusahaan perbankan. Teknik sampling yang digunakan purposive sampling. Data di analisis dengan analisis risiko kredit, analisis tingkat kecukupan modal, analisis profitabilitas, uji asumsi klasik, uji parsial dan uji serempak. Secara parsial dan serempak hasil menunjukan resiko kredit dan tingkat kecukupan modal berpengaruh signifikan terhadap profitabilitas. sedangkan secara serempak menyatakan bahwa ada pengaruh yang signifikan resiko kredit dan tingkatkan kecukupan modal terhadap profitabilitas.Kata kunci: Profitabilitas, Risiko Kredit, Tingkat Kecukupan Modal.Abstract: Effect of Credit Risk and Capital Adequacy Levels Profitability of Banks Listing on the IDX for the 2015-2019 Period. This study aims to determine the effect of Credit Risk and Capital Adequacy Level on the Profitability of Banks Listed on the IDX for the 2015-2019 period, and there are 43 banks listed on the IDX. Samples were taken from 10 banking companies. The sampling technique used was purposive sampling. The data were analyzed by credit risk analysis, capital adequacy level analysis, profitability analysis, classical assumption test, partial test and simultaneous test. Partially and simultaneously the results show that credit risk and the level of capital adequacy have a significant effect on profitability. while simultaneously stating that there is a significant effect of credit risk and increasing capital adequacy on profitability.Keywords: Profitabilitas, Credit Risk, Capital Adequacy Level.

scholarly journals THE EFFECT OF CREDIT RISK AS A MEDIATOR BETWEEN LIQUIDITY AND CAPITAL ADEQUACY ON BANK PERFORMANCE IN BANKING COMPANIES LISTED ON THE IDX

2020 ◽  
Vol 5 (2) ◽  
pp. 152-161
Author(s):  
Julia Safitri ◽  
Ana Kadarningsih ◽  
Maaz Ud Din ◽  
Sri Rahayu
Keyword(s):  
Credit Risk ◽  
Financial Intermediation ◽  
Analytical Tool ◽  
Third Parties ◽  
Capital Adequacy ◽  
Bank Performance ◽  
Risk Capital ◽  
Return On Assets ◽  
Main Factors ◽  
Main Relationship

Liquidity is one of the main factors faced by banking companies because its main relationship is channeling funds from third parties with bank performance. This study aims to examine credit risk which is proxied by Raroc (return adjusted on risk capital) as a mediator of the effect of liquidity (loan to deposit ratio) on the bank performance (return on assets). The analytical tool used in this study is SEM-WarpPLS 5.0, this study shows that credit risk can mediate the effect of liquidity on bank performance. This shows that the greater the credit risk, the smaller the bank's performance.Keywords: Financial Intermediation Theory; Liquidity; Bank Performance.

scholarly journals Calculating credit risk capital charges with the one-factor model

2005 ◽  
Vol 7 (2) ◽  
pp. 85-101 ◽  
Author(s):  
Susanne Emmer ◽  
Dirk Tasche
Keyword(s):  
Credit Risk ◽  
Factor Model ◽  
Risk Capital ◽  
The One
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