The determinants of credit risk in an emerging market

The aim of this study is to examine the determinants of credit risk management in an emerging market by using Malaysian listed companies. The sample of the study is selected using paired sample method. In order to adjust for earning management portions, the discretionary accrual model is used to c...

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Main Author:	Ng, Yen Theng
Format:	Thesis
Language:	eng eng
Published:	2014
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/5191/1/s812379.pdf https://etd.uum.edu.my/5191/2/s812379_abstract.pdf
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id	my-uum-etd.5191
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Abdul Manab, Norlida
topic	HG Finance
spellingShingle	HG Finance Ng, Yen Theng The determinants of credit risk in an emerging market
description	The aim of this study is to examine the determinants of credit risk management in an emerging market by using Malaysian listed companies. The sample of the study is selected using paired sample method. In order to adjust for earning management portions, the discretionary accrual model is used to calculate the abnormal accruals of firms. Furthermore, logistic regression is applied to determine the accuracy of unadjusted and adjusted model in predicting financial distress. Based on the empirical result, the liquidity ratio is proof to be significant at 5percent significance level in determining financial distress before and after earnings management is adjusted. Meanwhile, the productivity ratio is only showing its significance before the earnings management is adjusted and the profitability ratio is significant after the earnings management is adjusted. On the other hand, this study indicates that both unadjusted and adjusted models are having the same level of Type I error (23.3%). Out of the total 30 distressed observations, 23 are classified as distressed observations resulting in 76.6 percent of success classification and 7 are classified as non-distressed observations resulting in a 23.3 percent failure. However, for the Type II error, the non-adjusted model is performing better with a 16.7 percent failure compared to a 26.7 percent failure of adjusted model. As a result, by considering the cost for both Type I and Type II errors, the unadjusted model is better and more appropriate in predicting financial distress firms in Malaysian market compared to the adjusted model. This indicates that the unadjusted model helps in improving credit management among market participants in Malaysia
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Ng, Yen Theng
author_facet	Ng, Yen Theng
author_sort	Ng, Yen Theng
title	The determinants of credit risk in an emerging market
title_short	The determinants of credit risk in an emerging market
title_full	The determinants of credit risk in an emerging market
title_fullStr	The determinants of credit risk in an emerging market
title_full_unstemmed	The determinants of credit risk in an emerging market
title_sort	determinants of credit risk in an emerging market
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2014
url	https://etd.uum.edu.my/5191/1/s812379.pdf https://etd.uum.edu.my/5191/2/s812379_abstract.pdf
_version_	1747827880883126272
spelling	my-uum-etd.51912022-08-03T02:14:26Z The determinants of credit risk in an emerging market 2014 Ng, Yen Theng Abdul Manab, Norlida Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance The aim of this study is to examine the determinants of credit risk management in an emerging market by using Malaysian listed companies. The sample of the study is selected using paired sample method. In order to adjust for earning management portions, the discretionary accrual model is used to calculate the abnormal accruals of firms. Furthermore, logistic regression is applied to determine the accuracy of unadjusted and adjusted model in predicting financial distress. Based on the empirical result, the liquidity ratio is proof to be significant at 5percent significance level in determining financial distress before and after earnings management is adjusted. Meanwhile, the productivity ratio is only showing its significance before the earnings management is adjusted and the profitability ratio is significant after the earnings management is adjusted. On the other hand, this study indicates that both unadjusted and adjusted models are having the same level of Type I error (23.3%). Out of the total 30 distressed observations, 23 are classified as distressed observations resulting in 76.6 percent of success classification and 7 are classified as non-distressed observations resulting in a 23.3 percent failure. However, for the Type II error, the non-adjusted model is performing better with a 16.7 percent failure compared to a 26.7 percent failure of adjusted model. As a result, by considering the cost for both Type I and Type II errors, the unadjusted model is better and more appropriate in predicting financial distress firms in Malaysian market compared to the adjusted model. This indicates that the unadjusted model helps in improving credit management among market participants in Malaysia 2014 Thesis https://etd.uum.edu.my/5191/ https://etd.uum.edu.my/5191/1/s812379.pdf text eng public https://etd.uum.edu.my/5191/2/s812379_abstract.pdf text eng public masters masters Universiti Utara Malaysia Abd Rahim Nor. (2009). Statistical methods in research. Kuala Lumpur: Prentice hall. About the bank. (n.d.). Retrieved 11 October, 2013, from http://www.bnm.gov.my/index.php?ch=en_about &pg=en_intro&ac=641&lang=en. About the Basel Committee. (n.d.). Retrieved 11 October, 2013, from http://www.bis.org/bcbs/about.htm. Aisyah Abdul-Rahman. (2012). Risk exposures and lending structures of Malaysian banks. Malaysia: Universiti Kebangsaan Malaysia Press. Allen, F., & Gale, D.M. (2005). Systemic risk and regulation. In Carey, M. & Stulz, R.M. (Eds.). The Risks of Financial Institutions (pp. 341-368). Chicago: University of Chicago Press. Altman, E. (1969). 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