The Determinants of Credit Risk in Chinese banks and UK banks
MAO, Qi (2014) The Determinants of Credit Risk in Chinese banks and UK banks. [Dissertation (University of Nottingham only)] (Unpublished)
This thesis is an empirical investigation on the determinants of credit risk (non-performing loans) in Chinese banks and UK banks over 2007 to 2011. Through Panel data analysis, we summarize ten variables from previous researches which include four macroeconomic variables and six bank level variables in our model. From the result of regressions, we find the determinants of credit risk in each country and compare with the results to receive the differences of credit risk in Chinese banks and UK banks. The results suggest that one of the macroeconomic variables (GDP) as well as three bank level variables (Size, Credit Factor and Loan Quality) has significant explanatory power on credit risk of Chinese banks. Moreover, only two bank level variables (Capital Adequacy Ratio and Loan Quality) have strong relationships with NPLs in UK banks. Finally, we discuss the differences on the determinants of credit risk in these two countries. The main reasons include the distinction on policies, social structure, the distribution of markets, in further to understand the Basel Accord.
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