Electronic Theses and Dissertations (Masters/MBA)

Permanent URI for this collectionhttps://hdl.handle.net/10539/37942

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    Determinants of credit risk on residential mortgage loans in South Africa
    (2021) Mbulana, Alikho
    Residential mortgages are an important asset class for banks as these assets provide the majority of bank’s income. By the nature of issuing loans to customers, this asset class also presents the greatest risk to the banks and as a result, banks need to constantly evaluate and review credit risk in order to ensure dynamic response strategies that curb losses and achieve sustainable profits. This study aims to investigate factors influencing credit risk on residential mortgage loans in South Africa. A regression analysis was conducted to capture the influence of both macroeconomic and bank specific factors on loans that have been in arrears for less than 89 days and on loans that have been in default for more than 90 days; using monthly data from an undisclosed bank over a period of eight years, 2010 to 2018. The results show that Housing Price Index, Unemployment, Household Disposable Income, Bank’s Capitalization and Operational Efficiency are the only significant determinants for non-performing residential mortgage loans that are less than 89 days. Credit Quality, Inflation, Unemployment, Household Disposable Income, Bank’s Capitalization, Operational Efficiency and are the main determinants of the non-performing residential mortgage loans greater than 90 days
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    Determinants of non-performing loans and their impact on profitability in South African banks
    (2021) Mogagabe, N; Mogagabe, Ntebogeng
    The study aimed to examine the determinants (macroeconomic and bank specific) of non-performing loans in South Africa and assess the impact of non-performing loans on banking profitability. It has been demonstrated by the above statistics that South African banks are facing bad loan debt repayments which in turn turns into non-performing loans. Although it can be argued that the level of non-performing loans in South Africa is relatively low, the level of bank credit impairments threatens bank stability in the economy. The study was based on the cointegration and Granger causality method which was applied to panel data drawn from a sample of 8 banks. The granger causality test indicated that no variable Granger causes non-performing loans although non-performing loans granger caused GDP and capital adequacy. Furthermore, the Granger causality test indicated that non-interest income to total income Granger causes return on assets. Therefore, non-interest income to total income is a significant determinant of bank profitability as measured by return on assets