The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks

碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === In this paper, we study the changes of banks liquidity risk and credit risk during the financial crisis. Furthermore, we investigate the relationship between the commercial banks liquidity risk and credit risk. According to the past literature, some studies (e.g...

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Main Authors: CHEN, HAN-ZHE, 陳漢哲
Other Authors: CHANG, CHIA-CHIEN
Format: Others
Language:zh-TW
Published: 2019
Online Access:http://ndltd.ncl.edu.tw/handle/fzqaer
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spelling ndltd-TW-107NKUS02130132019-06-27T05:42:57Z http://ndltd.ncl.edu.tw/handle/fzqaer The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks 信用風險與流動性風險關係-以台灣銀行業為例 CHEN, HAN-ZHE 陳漢哲 碩士 國立高雄科技大學 金融資訊系 107 In this paper, we study the changes of banks liquidity risk and credit risk during the financial crisis. Furthermore, we investigate the relationship between the commercial banks liquidity risk and credit risk. According to the past literature, some studies (e.g., Dermine(1986), Acharya and Naqvi (2012)) indicate that there is a close relationship between liquidity risk and credit risk, whereas it is unclear that there is positive or negative effect. In this study, we use the 20 domestic commercial banks in Taiwan from 2006 to 2017, including the financial crisis and the European debt crisis. This study uses the quarterly data from the cumulative quarterly financial statements of Taiwanese banks that were obtained from the Taiwan Economic Journal (TEJ). For the variables of the liquidity risk index, we use non-performing loans (NPL), current ratio (CR), loan-to-deposit ratio (LDR), loss coverage ratio (LCR), capital adequacy ratio (CAR) and spread. For the variable of credit risk, we use the default distance (DD) from KMV model to measure the probability of bank default. we use Vector Autoregression model (VAR) to examine the relationship between credit risk and liquidity risk between the long-term and short-term. This study finds that the allowance for bad debt coverage and credit risk have no significant relationship in the crisis, while the other indicators have a causal relationship with credit risk, but they are not consistent in the direction of different crisis. CHANG, CHIA-CHIEN 張嘉倩 2019 學位論文 ; thesis 48 zh-TW
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description 碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === In this paper, we study the changes of banks liquidity risk and credit risk during the financial crisis. Furthermore, we investigate the relationship between the commercial banks liquidity risk and credit risk. According to the past literature, some studies (e.g., Dermine(1986), Acharya and Naqvi (2012)) indicate that there is a close relationship between liquidity risk and credit risk, whereas it is unclear that there is positive or negative effect. In this study, we use the 20 domestic commercial banks in Taiwan from 2006 to 2017, including the financial crisis and the European debt crisis. This study uses the quarterly data from the cumulative quarterly financial statements of Taiwanese banks that were obtained from the Taiwan Economic Journal (TEJ). For the variables of the liquidity risk index, we use non-performing loans (NPL), current ratio (CR), loan-to-deposit ratio (LDR), loss coverage ratio (LCR), capital adequacy ratio (CAR) and spread. For the variable of credit risk, we use the default distance (DD) from KMV model to measure the probability of bank default. we use Vector Autoregression model (VAR) to examine the relationship between credit risk and liquidity risk between the long-term and short-term. This study finds that the allowance for bad debt coverage and credit risk have no significant relationship in the crisis, while the other indicators have a causal relationship with credit risk, but they are not consistent in the direction of different crisis.
author2 CHANG, CHIA-CHIEN
author_facet CHANG, CHIA-CHIEN
CHEN, HAN-ZHE
陳漢哲
author CHEN, HAN-ZHE
陳漢哲
spellingShingle CHEN, HAN-ZHE
陳漢哲
The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
author_sort CHEN, HAN-ZHE
title The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
title_short The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
title_full The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
title_fullStr The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
title_full_unstemmed The Relationship between Liquidity Risk and Credit Risk: Evidence from Taiwanese Banks
title_sort relationship between liquidity risk and credit risk: evidence from taiwanese banks
publishDate 2019
url http://ndltd.ncl.edu.tw/handle/fzqaer
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