Credit Risk Assessment: A Case Study Of Some Selected Banks in Ghana
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Date
November 2015
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Abstract
This study modeled the profitability of banks in relation to its internal and credit
risk factors. A panel data regression approach was used with data consisting of
financial statements and closing stock prices of five selected banks listed on the
Ghana Stock Exchange Market. The internal factors considered were Capital
adequacy, asset quality, efficiency and size, with the credit risk factors being
GDP growth, inflation, private indebtedness and average exchange rate. The
Fixed effect model was found to be the most appropriate model suitable for this
data set based on the Hausman test. Which specified, the independent variables
had a 0:78 efficiency of predicting profitability, with capital adequacy, asset
quality , inflation and private indebtedness being significant in determining the
profitability of banks. The second part of this study proceeded to measure credit
risk of these same banks using the option pricing methodology, the default model
of these banks were evaluated using Black-Scholes-Merton default probability.
Description
A Thesis Submitted to the Department of Mathematics,
Kwame Nkrumah University of Science and Technology In
Partial Fulfillment of the Requirement for the Degree
of M.Phil. Actuarial Science, 2015