Microeconomic Determinants of Bank Credit Risk: An Assessment

Motivated by the absence of a specific measure to bank credit risk, This paper applies stepwise linear regression to analyze the effect of using different proxies of credit risk on its bank-specific determinants in UK banks during the period of 2004-2014, and to find out the most significant indicators of such a risk. The outcomes show that using different proxies will result in different determinants of credit risk. The study also found that bank Liquidity and bank size are the most important determinants of credit risk. These results highlighted the necessity of more research to obtain a specific measure of bank credit risk.