Explanatory Factors of Credit Risk: Empirical Evidence from Tunisian Banks

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Author	Ines Ghazouani Ben Ameur
ISSN	2307-2466
On Pages	21-29
Volume No.	5
Issue No.	1
Issue Date	March 01, 2020
Publishing Date	March 01, 2020
Keywords	Bank credit risk, capital regulation, macroeconomic, GMM system, Tunisia

Abstract

In this paper we attempt to identify factors explaining Tunisian credit risk taking behaviour. Using GMM estimator technique as described by Bundell and Bond (1998) and retaining the main 10 commercial Tunisian banks during 2000-2013 periods, this paper examines bank specific, industry specific and macroeconomic factors that may influence bank credit risk. Results suggest that credit risk in Tunisian banks is significantly influenced by capital adequacy and operational efficiency. Indeed, banks with adequate capital and efficient management seem to hold low credit risk level. On the other hand, competitiveness among banks pushes risk-taking behaviour through developing risky activities to compensate the loss of revenues. Finally, we found that Tunisian bank credit risk-taking decisions are essentially determined by macroeconomic factors.

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