Predicting bank credit risk: evidence from financial industries / Nurhafizah Muktar

This study examine the relationship between the key factors affecting credit risk toward bank credit risk and identify the effect of the internal factor of the bank towards the banks credit risk. The dependent variable of this study is banks credit risk and independent variables are size of the bank (LNTA), leverage (LEV), management efficiency (MGT), regulatory capital (REGCAP), loan loss provision (LNLLP) and loan to deposit ratio (LD). The sample of the study consists of Malaysian top 5 largest banks by total asset. The period covered from 2000 until 2014. This study used quantitative secondary data which is panel data and multiple regression models represented by the ordinary least squares (OLS) as the technique to look the relationship and the effect of the independent variables toward dependent variable. The results from the study reveal that size of the bank, management efficiency and regulatory capital is negatively related to banks credit risk. While leverage, loan loss provision and loan to deposit is positively related to banks credit risk. All the independent variables are significantly affect the banks credit risk where banks credit risk is affected by the size of the bank, leverage, management efficiency, regulatory capital, loan loss provision and loan to deposits.