Studying the Credit Risk-Return Relationship in Commercial Banks Using Quantile Regression
(2011) NEKM01 20111Department of Economics
- Abstract
- The main purpose of this thesis is to emphasize the importance of managing credit risk in commercial banks. Therefore, I investigate one of the most important issues that appear in the banking sphere – the risk-return trade-off. The key suggestion of the study is examining the distribution of the return on shareholders’ average equity across banks using the quantile regression model. Accordingly, the following analytical conclusions are drawn from the empirical outcomes: First: the theoretically suggested positive risk-return relationship appears to be improper for less profitable banks. Second: the relationship between those two swapping components expresses different behavior along quantile values. And third: the graphical representation... (More)
- The main purpose of this thesis is to emphasize the importance of managing credit risk in commercial banks. Therefore, I investigate one of the most important issues that appear in the banking sphere – the risk-return trade-off. The key suggestion of the study is examining the distribution of the return on shareholders’ average equity across banks using the quantile regression model. Accordingly, the following analytical conclusions are drawn from the empirical outcomes: First: the theoretically suggested positive risk-return relationship appears to be improper for less profitable banks. Second: the relationship between those two swapping components expresses different behavior along quantile values. And third: the graphical representation of the findings clearly explains the questionable risk-return puzzle for most of the commercial banking sector. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1976562
- author
- Mujiri, Giorgi LU
- supervisor
-
- Hans Byström LU
- organization
- course
- NEKM01 20111
- year
- 2011
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Credit Risk Management, Credit Risk-Return Relationship, Quantile Regression
- language
- English
- id
- 1976562
- date added to LUP
- 2011-06-16 14:46:28
- date last changed
- 2011-06-16 14:46:28
@misc{1976562, abstract = {{The main purpose of this thesis is to emphasize the importance of managing credit risk in commercial banks. Therefore, I investigate one of the most important issues that appear in the banking sphere – the risk-return trade-off. The key suggestion of the study is examining the distribution of the return on shareholders’ average equity across banks using the quantile regression model. Accordingly, the following analytical conclusions are drawn from the empirical outcomes: First: the theoretically suggested positive risk-return relationship appears to be improper for less profitable banks. Second: the relationship between those two swapping components expresses different behavior along quantile values. And third: the graphical representation of the findings clearly explains the questionable risk-return puzzle for most of the commercial banking sector.}}, author = {{Mujiri, Giorgi}}, language = {{eng}}, note = {{Student Paper}}, title = {{Studying the Credit Risk-Return Relationship in Commercial Banks Using Quantile Regression}}, year = {{2011}}, }