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Studying the Credit Risk-Return Relationship in Commercial Banks Using Quantile Regression

Mujiri, Giorgi LU (2011) NEKM01 20111
Department 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)
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author
Mujiri, Giorgi LU
supervisor
organization
course
NEKM01 20111
year
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},
  keyword      = {Credit Risk Management,Credit Risk-Return Relationship,Quantile Regression},
  language     = {eng},
  note         = {Student Paper},
  title        = {Studying the Credit Risk-Return Relationship in Commercial Banks Using Quantile Regression},
  year         = {2011},
}