Analysis of Major Influential Factors of Credit Risk in Commercial Banks: Evidence from the United States

This dissertation is to analyse the major influential factors of credit risk in commercial banks with data from the United States over the period of 2009 to 2018, and the examination method is the two-step GMM estimator with chosen dependent variable of non-performing loans (NPLs), and explanatory variables select eight that include both bank-specific variables and macro-economic variables. The motivation of the paper is the hypothesis that changes in external factors and internal factors can affect bank loan quality, and this effect varies with period and region. Crucial questions discussed are the correlation between each variable and NPLs, causes of correlation differences and which credit risk determinants are more important. The empirical results illustrate that the entire selected variables are related to NPLs especially for loan loss provisions as well as profitability which coefficients are at the significant level, while impacts from macro-economics are weak. And the analysis of results combines the economic background of the US banking industry. The results of this study are generalized and universally applicable