أثر الودائع و المخصصات الائتمانية و ربحية المصرف في مخاطر التركزات الائتمانية : دراسة تطبيقية على قطاع المصارف التقليدية الخاصة في سورية

Abstract EN

This research aims to measure economic capital for credit concentration risk using Copula Qaussian model and then to investigate the impact of total deposit, return of equity and provision of credit concentration risk in the private traditional banks operating in Syria.

Considering 6 private traditional banks during 2008-2018 for achieving the purpose of this study, primarily the default rate depending on the historical number of clients is calculated.

After that, the worst scenario for credit concentration risk ias forecasted and probability of default (PD) proposed by Copula Qaussian model is calculate.

Then, the researcher calculates the economic capital for credit concentration risk based on loss giving default (LGD), credit exposure of large 20 clients (EAD) and probability of default (PD).

Finally, a weighted- fixed cross section pool model is fitted to assess the potential effect of the considered variables on credit concentration risk.

Also, residual test is applied to validate the ability of model to forecast.

It seems that considered variables have a significant role in explaining the change in credit concentration risk in the private traditional banks operating in Syria.

In fact, the results show that there is a positive and statistically significant effect of each depended variables (total deposit, credit provision, return on equity) on credit concentration risk.

In addition, increasing the credit concentration ratio doesn’t always cause any increase in economic capital for credit concentration risk.