The Impact of Macroeconomic Variables on the Evolution of the Credit Risk Rate

The dynamics of the real economy is a major driver of the evolution of arrears at the level of the pool of loans granted to non-financial companies, completed by the financial pressure induced by the monetary conditions. Lending allows on the one hand providing resources for companies that need financing for investment projects, on the other hand, it supports the fund holders to place resources for obtaining profit. The role of the lending policy in the activity of commercial banks is very important, as it may influence both the cost of credits and the loan portfolio quality in the future. The purpose of this research is to find the macroeconomic variables that significantly influence credit risk and to develop a statistical model for predicting the doubtful and non-performing loans rate. Thus, it is envisaged the research of mechanisms by which the dynamics of the real economy and the money market conditions influence the evolution of the credit risk in different business sectors.