An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System

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Aver, Boštjan, "An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System", Managing Global Transitions, Vol. 6, No. 3, (Fall 2008), pp. 317-334.

Abstract: The study presents the results of an analysis of credit risk factors of the Slovenian banking system. The objective of the empirical analysis is to establish which macroeconomic factors influence the systematic credit risk of the Slovenian banking loan portfolio. The research results have confirmed the main hypothesis that certain macroeconomic factors have a major influence on the examined credit risk. We could conclude that the credit risk of the loan portfolio depends on the employment or unemployment rate in Slovenia, on short and long-term interest rates of Slovenian banks and the Bank of Slovenia, and on the value of the Slovenian stock exchange index. We cannot claim that the examined credit risk depends on the inflation rate in Slovenia, the growth of GDP (industrial production), EUR and USD exchange rates or the growth of Slovenian import and export.

JEL Classification: G11, G21.

Keywords: Slovenian banking system, credit risk factors, loan portfolio, Bank of Slovenia, macroeconomic factors.

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