대출 포트폴리오와 대출금 변수를 중심으로 본 국내은행 신용위험의 결정요인

초록

This paper attempts to study determinants of domestic banks" credit risk, focusing on non - performing loans ratio (NPL). Unlike extant studies, we examine the determinants of overall NPL corporate NPL and household NPL separately with a variety of loan related variables. The main results of our study are as follows. First, we confirm that the amount of large corporation loans and small-medium size enterprises (SME) loans play contrasting roles in shaping the credit risks of banks; the amount of large corporation loans decreases credit risks of the banks while that of SME loans increase the risks. Second, the amount of mortgage loans are found to affect the overall NPL and household NPL differently. The loans are positively related to the overall NPL but negatively related to the household NPL. Third, the demand index of SME loans has significantly positive effects on the credit risks of banks unlike all other loan demand indices. Interestingly, the amount of SME loans does not affect significantly the credit risks of local banks unlike commercial banks, which supports extant studies highlighting efficient managements of SME loans in local banks.

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