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
Date Written: July 27, 2016
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
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