DSpace
 

KNUSTSpace >
Theses / Dissertations >
College of Science >

Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/8051

Title: Credit Risk Assessment: A Case Study Of Some Selected Banks in Ghana
Authors: Abanga, Abugnaba Mama Nissi
Issue Date: 8-Nov-2015
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
URI: http://hdl.handle.net/123456789/8051
Appears in Collections:College of Science

Files in This Item:

File Description SizeFormat
ABANGA ABUGNABA MAMA NISSI.pdf403.87 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback