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2014, vol. 8, iss. 1, pp. 331-348
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Business performance and sector's dispersion of credit risk in Serbia
Poslovne performanse i sektorska disperzija kreditnog rizika u Srbiji
Project: European integrations and social and economic changes in Serbian economy on the way to the EU (MESTD - 47009)
Challenges and Prospects of Structural Changes in Serbia: Strategic Directions for Economic Development and Harmonization with EU Requirements (MESTD - 179015)
Abstract
Credit risk represents a threat not only to financial stability, but also to the slow recovery from the Great Recession in most countries of the world, and especially in Serbia. Previous studies of this problem are usually focused on banking sector, seeking solutions in the area of credit risk management, new prudential measures, more effective monitoring, high Capital Adequacy and multiplied collateral. In this paper we made a step forward from the standard framework, analyzing the correlational and causal relationship of credit risk and business performance of private enterprises, the dominant debtor of domestic banks. We particularly investigate the sectoral dispersion of credit risk, which reflects the business performance and the resistance of each sector to the impacts of the recession. We evaluated the business performance of sectors with the highest share in non-performing loans (NPL) and the highest credit risk indicator (NPL ratio). Shifting the focus of research to relationship between corporate sector and banking sector, allows us to shed light on the fundamental causes of the increasing credit risk. As a result, a real range of the system of credit risk management, that was standardized by pre-crisis Basel II document, and now by the new Basel III Capital Accord, can be evaluated. Finally, we explained the relationship between credit and systemic risk, that shows what kind of danger a high credit risk constitutes in the economy of any country.
Sažetak
Kreditni rizik predstavlja pretnju ne samo finansijskoj stabilnosti, već i sporom oporavku od Velike recesije u većini zemalja sveta, u Srbiji naročito. Dosadašnja istraživanja ovog problema uobičajeno su usmerena na bankarski sektor, dok se rešenja traže u domenu upravljanja kreditnim rizikom, novim prudencionim merama, efikasnijem monitoringu, visokoj kapitalnoj adekvatnosti i multiplikovanom kolateralu. U ovom radu je načinjen iskorak iz standardnog okvira, jer se analiziraju korelacione i kauzalne veze kreditnog rizika i poslovnih performansi privatnih preduzeća, dominantnih dužnika domaćih banaka. Posebno je istražena sektorska disperzija kreditnog rizika, koja odražava uspešnost poslovanja i otpornost svakog sektora na udare recesije. Ispitivane su poslovne performanse sektora koji imaju najveći udeo u ukupnim problematičnim kreditima (Non-Performing Loans - NPL) i najviše pokazatelje kreditnog rizika (NPL racio). Pomeranje fokusa istraživanja na međuzavisnost sektora preduzeća i bankarskog sektora omogućava rasvetljavanje fundamentalnih uzroka rastućeg kreditnog rizika. Zahvaljujući tome, mogu se oceniti realni dometi sistema upravljanja kreditnim rizikom, normiranog pretkriznim Bazel II, a sada novim Bazel III sporazumom o kapitalu. Na kraju je pojašnjena veza kreditnog i sistemskog rizika, koja pokazuje kakvu opasnost predstavlja visok kreditni rizik za ekonomiju svake zemlje.
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