Default Risk Drivers in Shipping Bank Loans

Kavussanos, Manolis G.; Tsouknidis, Dimitris A.

Default Risk Drivers in Shipping Bank Loans

Kavussanos M.G. and Tsouknidis D.A., 2016. Default risk drivers in shipping bank loans. Transportation Research Part E: Logistics and Transportation Review, Forthcoming

56 Pages Posted: 28 Jul 2016 Last revised: 13 Aug 2016

See all articles by Manolis G. Kavussanos

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Dimitris A. Tsouknidis

Athens University of Economics and Business

Date Written: July 27, 2016

Abstract

This paper proposes a credit scoring model for the empirical assessment of default risk drivers of shipping bank loans. A unique dataset, consisting of the credit portfolio of a ship-lending bank is used to estimate a logit model with two-way clustered adjusted standard errors, ensuring robust inferences. Industry specific variables, captured through current and expected conditions in the extremely volatile global shipping freight markets, the risk appetite of borrowers – the shipowners – expressed through the chartering policy they follow – and a pricing variable, are shown for the first time to be the important factors explaining default probabilities of bank loans.

Keywords: Default Risk, Bank Loans, Credit Scoring Models, Shipping

JEL Classification: G21, G33, C25

Suggested Citation: Suggested Citation

Kavussanos, Manolis G. and Tsouknidis, Dimitris A., Default Risk Drivers in Shipping Bank Loans (July 27, 2016). Kavussanos M.G. and Tsouknidis D.A., 2016. Default risk drivers in shipping bank loans. Transportation Research Part E: Logistics and Transportation Review, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2815186