Comptabilité et marketing

The Evolution of Non-Performing Credit Limits During Crisis Period, Using Unique Accounting Data

Abstract

Vasileios Giannopoulos

The purpose of this paper is to study the effect of independent variables in identifying non-performing loans during crisis period, using a binomial logistic regression. We use a unique data of small business loans granted by one of the four systemic banks of Greece. Specifically we study a sample of credit limits granted to micro and small enterprises. Νon-performing loans significantly increased as the recession of Greek economy deepens. Moreover we find that in general the variables affect in the same way the creation of non-performing loans during the studied period. Specifically, binomial logistic regression shows a positive correlation between non-performing loans and factors “Adverse” and “Age”. In contrast, we find a negative correlation between the probability of classifying a loan as non-performing and the independent variables “Collateral”, “Own Facilities”, “Property” and “Years of operation”. Finally the predicted performance of the binomial logistic regression reduced as the crisis deepens.