Title: The impact of non-performing loans on systematic risk of banks: evidence from the European market

Authors: Loris Di Nallo; Maria Lucetta Russotto; Pasquale Zaccarella; Pavlo Brin

Addresses: University of Cassino e del Lazio Meridionale, Viale dell'Università, 03043 Cassino, Italy ' University of Firenze, Via delle Pandette, 50127 Firenze, Italy ' Marcianise, Italy ' Kharkiv Polytechnic Institute, National Technical University, Kyrpychova St, 2, 61000, Kharkiv, Kharkiv Oblast, Ucraina

Abstract: This paper investigates the impact of non-performing loan data on the perceived riskiness of banks, providing information to manage them. We used the quantitative methodology based on statistical analysis to represent the role of non-performing loans. We built our sample starting from European listed banks. We developed a regression analysis establishing the relationship between non-performing data and risk. Our results show achievements in the impact of the non-performing loans (NPLs) ratio on perceived risk, particularly on the beta factor. The positioning of non-performing loan data is directed to influence capital asset pricing model (CAPM) beta. In the European banks of the analysis, a higher value of NPL ratio brings to a higher perception of risk by the market, and this is central for the future management of NPLs.

Keywords: banking industry; banks; non-performing loans; NPLs; beta.

DOI: 10.1504/IJMDM.2024.140753

International Journal of Management and Decision Making, 2024 Vol.23 No.5, pp.647 - 664

Received: 08 Mar 2023
Accepted: 27 Jun 2023
Published online: 02 Sep 2024 *

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