Autor: |
Pei-Ling Lee, Chun-Teck Lye, Chin Lee |
Jazyk: |
angličtina |
Rok vydání: |
2022 |
Předmět: |
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Zdroj: |
Central Bank Review, Vol 22, Iss 3, Pp 109-117 (2022) |
Druh dokumentu: |
article |
ISSN: |
1303-0701 |
DOI: |
10.1016/j.cbrev.2022.08.003 |
Popis: |
The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 in 12 countries while controlling for bank-specific and country-specific effects over time. A System Generalized Methods of Moments (GMM) model of default probabilities is estimated over the periods 2010–2021. This study confirms the ‘risk-mitigation view’, in which banks with higher ESG scores are more prudent in lending and have better relationship management, reducing the probability of bank default. Underperforming banks tend to have a higher portion of risky loans in their credit portfolio and therefore demonstrating a higher default propensity. Bank risk appetite, ESG, asset quality, economic growth, and currency depreciation appear to be material drivers for bank risk. We find that a lower risk appetite ratio (corresponding to higher risk appetite) is associated with higher estimated default probability during the COVID-19 outbreak, identified through interaction with a single time dummy for 2020 (the break-out year of the pandemic). |
Databáze: |
Directory of Open Access Journals |
Externí odkaz: |
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