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Evaluating the Risk Profile of Croatian Banks Using Cluster Analysis (CROSBI ID 675716)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Župić, Barbara ; Pavković, Ana Evaluating the Risk Profile of Croatian Banks Using Cluster Analysis // Economic and social development / Lorga da Silva, Ana ; Tomić, Daniel ; Grilec, Alica (ur.). 2019. str. 43-57

Podaci o odgovornosti

Župić, Barbara ; Pavković, Ana

engleski

Evaluating the Risk Profile of Croatian Banks Using Cluster Analysis

Credit institutions play a major role in the economy, especially in bank-centric systems such as the Croatian financial system, having a significant impact on the stability and efficiency. This paper analyzes how the homogeneity of Croatian banks changed relative to indicators of their profitability, risk exposure and costs. The main objective of this study is to recognize banks that have a comparable risk profile and that have experienced similar problems in the observed years. Three years that were selected represent the pre-crisis, crisis and post-crisis periods. The pre-crisis period refers to the year 2006, which was a period of economic expansion with strong growth of loans, deposits and foreign sources of funding. Then follows the year 2011, which represents the global financial crisis, while the last period is 2016, a year after the Swiss franc became stronger than the euro and caused problems for thousands of people, but also the Croatian banks. A method of multivariate analysis – cluster analysis is applied for all of the Croatian banks operating in 2006, 2011 and 2016. Cluster analysis can be used as an alternative to regression analysis, or more advanced methods in which the relationship between endogenous and exogenous is predetermined. It allows greater freedom without imposing any a priori limitations. The formed clusters give a different insight into the relationship between variables and between the banks than would give other econometric methods. The estimates have especially helped in singling out the banks that were the most vulnerable in the two crises.

banking system ; cluster analysis ; Republic of Croatia ; risks ; similarity assessment

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Podaci o prilogu

43-57.

2019.

objavljeno

Podaci o matičnoj publikaciji

Book of Proceedings of the 39th International Scientific Conference on Economic and Social Development – "Sustainability from an Economic and Social Perspective"

Lorga da Silva, Ana ; Tomić, Daniel ; Grilec, Alica

Lisabon: VADEA

1849-7535

Podaci o skupu

39th International Scientific Conference on Economic and Social Development: Sustainability from an Economic and Social Perspective

predavanje

29.04.2019-30.04.2019

Lisabon, Portugal

Povezanost rada

Ekonomija

Indeksiranost