dc.contributor.author | Kabir, Md Nurul | |
dc.contributor.author | Worthington, Andrew | |
dc.contributor.author | Gupta, Rakesh | |
dc.date.accessioned | 2018-10-18T00:02:12Z | |
dc.date.available | 2018-10-18T00:02:12Z | |
dc.date.issued | 2015 | |
dc.identifier.issn | 0927-538X | |
dc.identifier.doi | 10.1016/j.pacfin.2015.06.001 | |
dc.identifier.uri | http://hdl.handle.net/10072/101498 | |
dc.description.abstract | In this paper, we consider the levels of credit risk in Islamic and conventional banks. One problem with existing studies is the use of accounting information alone to assess credit risk, and this could be especially misleading with Islamic banking. Using a market-based credit risk measure, Merton's distance-to-default (DD) model, we evaluate the credit risk of 156 conventional banks and 37 Islamic banks across 13 countries between 2000 and 2012. We also calculate the accounting information-based Z-score and nonperforming loan (NPL) ratio for the purpose of comparison. Our results show that Islamic banks have significantly lower credit risk than conventional banks as based on DD. In contrast, and as expected, Islamic banks display much higher credit risk using the Z-score and NPL ratio. These findings suggest that the measure chosen plays a significant role in assessing the actual credit risk of Islamic banks. | |
dc.description.peerreviewed | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.relation.ispartofpagefrom | 327 | |
dc.relation.ispartofpageto | 353 | |
dc.relation.ispartofjournal | Pacific-Basin Finance Journal | |
dc.relation.ispartofvolume | 34 | |
dc.subject.fieldofresearch | Accounting, auditing and accountability | |
dc.subject.fieldofresearch | Banking, finance and investment | |
dc.subject.fieldofresearch | Financial institutions (incl. banking) | |
dc.subject.fieldofresearchcode | 3501 | |
dc.subject.fieldofresearchcode | 3502 | |
dc.subject.fieldofresearchcode | 350204 | |
dc.title | Comparative credit risk in Islamic and conventional bank | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
dcterms.license | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.description.version | Accepted Manuscript (AM) | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.rights.copyright | © 2015 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited. | |
gro.hasfulltext | Full Text | |
gro.griffith.author | Gupta, Rakesh | |