Differentiation of credit risk performance according to bank type and financed sector

Credit risk is one of the most important risk items in the banking sector. Disruptions in the system with repayments may lead to unexpected results with a domino effect. When the customer comes with a loan request, the customer is evaluated by considering many criteria. These evaluation processes differ depending on whether the customer is a business or a real person. While criteria such as the repayment capacity of the person, the maturity of the debt and the amount of the debt are taken as basis, a more detailed rating is made in the businesses. In addition, it is important for credit risk management to know the distribution of the sectors that banks provide loans and which sectors differ in terms of credit risk. In this study, it has been investigated whether there is a difference in sectors affecting credit risk in terms of sectoral loans according to bank groups. Banking data was collected from the monthly data bulletin from the BRSA website, and macroeconomic data was obtained from the Electronic Data Distribution system (EVDS) of the Turkish Statistical Institute (TUIK) and the Central Bank. Three models of credit risk have been established. The dependent variable is taken as the change in the ratio of non-performing loans to total loans as an indicator of credit risk in all models. In the first model, the independent variables are credit change and macroeconomic variables. In the second model, the independent variables are the weighted change of commercial and personal credit, and in the third model, the independent variables are the weighted change of the sector credits and macroeconomic variables. Models were tested with panel data analysis. According to the results of the analysis, there were differences in commercial and individual loans as well as sector loan changes in bank groups. Banks related to sectors that are meaningful for bank groups may develop different policies at the point of loan allocation.