Analiza determinanti kreditnog rizika u uslovima izražene informacione asimetrije

Abstract

U ovom radu istraživane su ključne determinante kreditnog rizika na primeru bankarskog sektora u Republici Srbiji. Specičnost istraživanja uslovili su odabrani primer, koji se karakteriše uslovima izražene informacione asimetrije, i period koji je istraživanje pokrilo, a koji se karakteriše ispoljavanjem efekata svetske ekonomske krize. U cilju identifikacije determinanti kreditnog rizika i kvantifikacije njihovog uticaja na kvalitet kreditnog portfolija banaka u istraživanju je primenjen vektorski autoregresioni (VAR) model i model diskretne zavisne promenljive – binarni modeli izbora (logit i probit). Pokazano je da su kod kredita odobrenih privredi najznačajnije sistemske determinante kreditnog rizika predstavljali poslovni ciklus i devizni kurs, odnosno, porast problematičnih kredita u bankarskom sektoru bio je u najvećoj meri uzrokvan padom bruto domaćeg proizvoda i slabljenjem domaće valute. Povećanje stope nezaposlenosti, uzorkovano pogoršanjem stanja u privredi, zajedno sa smanjenjem vrednosti domaće valute i uvođenjem fiskalnog zahvatanja iz zarada u obliku tzv. solidarnog poreza predstavljali su najznačajnije sistemske determinante kreditnog rizika kod kredita koje su banke odobrile stanovništvu. Default-u dužnika bile su više izložene one banke koje su u krizni period ušle sa nižim nivoom kapitala, sa većom koncentracijom kredita u grupi od 50 preduzeća sa najvećim nivoom zaduženosti i sa ograničenjima koja vlasnicima banke nisu dozvoljavala da izvrše dokapitalizuju banke. Istovremeno su ove banke bile i sklonije da potcenjuju problematične kredite u svojim finansijskim izveštajima. Pad ekonomske aktivnosti (indeks prihoda od prodaje) potvrđen je i na nivou nesistemskih faktora kao značajan faktor kreditnog rizika kompanija. Kreditni rizik je rastao i po osnovu prelivanja efekata deviznog rizika usled pada vrednosti domaće valute i efekata operativnog rizika koji je poticao iz ekonomske povezanosti dužnika. Visoka posledična izloženost banka prema privrednim društvima koji su u periodu krize ušli u status problematičnih rezultat je izražene procikličnosti kreditne aktivnosti banka u uzlaznoj fazi poslovnog ciklusa tj. pretkriznom periodu. Latentni uzroci kreditnog rizika preuzetog od strane banaka u pretkiznom periodu identifikovani su dekomponovanjem problematičnih kredita po sektorima privrede, komponentama rashodne strane bruto domaćeg proizvoda i izvora rasta. Konačno, kao činioci koji su opredelili izraženi porast informacione asimetrije identifikovani su ograničenja u informacionoj infrastrukturi domaćeg tržišta, kao i ponašanje banaka, regulatora i ostalih tržišnih učesnika.

This paper examined the key determinants of credit risk in the case of the banking sector in the Republic of Serbia. Specificity of this research was caused by the chosen example, which is characterized by conditions of expressed informational asymmetries, and the period the survey covered, which is characterized by the manifestation of the effects of the global economic crisis. Vector autoregression (VAR) model and discrete dependent variable model – a binary choice models (logit and probit) were used in this survey in order to identify the determinants of credit risk and quantify their impact on the quality of the loan portfolio of banks. It has been shown that in case of loan that were granted to corporates, the most important systemic determinants of credit risk represented the business cycle and exchange rate, i.e., the increase of non-performing loans in the banking sector was mostly caused by the decrease of the gross domestic product and the weakening of the domestic currency. The increase of the unemployment rate, caused by deteriorating state of the economy, along with a reduction of the value of the domestic currency and the introduction of fiscal abstractions of earnings in the form of so-called solidarity tax system represented the most important determinants of credit risk for loans that banks granted to households. Banks that have entered into the crisis period with a lower level of capital, with a higher concentration of loans in a group of 50 companies with the highest level of debt and the constraints that did not allow the owners of banks to conduct recapitalisation of banks were more exposed to default of the debtor. At the same time these banks were also more likely to underestimate the non-performing loans in its financial statements. The decline of economic activity (index of sales revenue) was confirmed at the level of non-systematic factors as a significant factor of credit risk of the companies. Credit risk has grown based on the spillover effects of foreign exchange risk due to falling value of the domestic currency and the effects of operational risk that came from the economic integration of the debtor. High consequent exposure of the banks to companies that are in a period of crisis become non-performing is the result of expressed pro-cyclicality of credit activity of the banks in the growth stage of the business cycle, i.e. the pre-crisis period. Latent causes of the credit risk assumed by banks in the pre-crisis period were identified by the decomposition of the non-performing loans in corporate sectors, the components of the expenditure side of the gross domestic product and the sources of growth. Finally limitations in the information infrastructure of the domestic market, as well as the behaviour of banks, regulators and other market participants were identified as the factors that determined the expressed growth of information asymmetry.