Determinants of credit risk on residential mortgage loans in South Africa
Date
2020
Authors
Journal Title
Journal ISSN
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Publisher
University of the Witwatersrand, Johannesburg
Abstract
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
Description
A research report submitted in partial fulfillment of the requirements for the degree of Master of Management to the Faculty of Commerce, Law and Management, School of Business Sciences, University of the Witwatersrand, Johannesburg, 2020
Keywords
Residential mortage loans, Credit risk, UCTD
Citation
Mbulana, Alikho. (2020). Determinants of credit risk on residential mortgage loans in South Africa [Master’s dissertation, University of the Witwatersrand, Johannesburg]. WireDSpace.https://hdl.handle.net/10539/41211