| Abstract [eng] |
The main purpose of this master thesis is to examine and assess the impact of macroeconomic factors on banks' credit risk and to identify and assess how macroeconomic factors such as GDP growth, inflation, unemployment rate and other macroeconomic conditions affect banks' credit risk. The study is divided into three primary sections: a literature review, the research process and its findings, and the conclusion with recommendations. Literature analysis reviews the classification of banking risks, providing an overview of all aspects of risk. It highlights the role of credit risk and identifies how foreign authors have defined the concept and discusses the factors that affect credit risk. Following the literature review, the author proceeded to conduct a study on examination of the research carried out by foreign authors and the methods chosen by the authors to calculate and determine the impact of macroeconomic factors on banks' credit risk, the author describes the research methodology. The authors' work has shown that GDP has a negative relationship with NPLs and affects credit risk, with credit risk decreasing as GDP increases and vice versa. Inflation, unlike GDP, has a positive effect on the NPL and as it increases, credit risk increases. While a small number of studies have found that unemployment rates have a negative impact on credit risk, the majority of the authors' studies show that unemployment rates do have a positive relationship with credit risk, i.e. as unemployment rates increase, credit risk increases. For credit risk, the authors are unanimous in finding a positive effect of the interest rate and EURIBOR on NPLs as interest rates rise. It also has shown that most authors use linear regression analysis, Pearson correlation analysis and dynamic analysis to identify credit risk. The conducted research demonstrated that the implementation of regression analysis, Pearson correlation analysis and dynamic analysis showed that only a subset of the selected macroeconomic factors play a significant role in predicting bank credit risk. Bank credit risk, defined as non-performing loans, is most strongly and significantly influenced by the level of unemployment. GDP and NEER have a lesser, but also significant, negative impact on bank credit risk, i.e. as GDP increases, bank credit risk decreases. The effect of the interest rate on loans is partial, more broadly applicable and has a positive impact on banks' credit risk. The study has not been able to substantiate the expected impact of inflation and EURIBOR on bank credit risk, based on the results obtained in the academic literature. The conclusions and recommendations summarize the key concepts derived from the literature review and the findings of the conducted research. The author considers that the study's findings could provide valuable guidance for banks and financial institutions by emphasizing the importance of incorporating macroeconomic variables into risk assessment models, diversifying loan portfolios to mitigate risk, and implementing early warning systems to proactively address potential credit risks. |
