Measuring the Impact of the Macroeconomic and Bank-specific Variables on Capital Risk: A Comparative Study between the Listed and Non-listed Banks

Abstract

Banks have a sensitive impact on the economic performance of the countries through their intermediate role inside the financial system. To guarantee the effectiveness of their role in supporting the growth of the economies, they need to monitor their risks continuously. Capital risk is one of the threats that banks should carefully measure and manage to survive and grow. After reviewing the literature on capital risk determinants, we found no paper classifying capital risk into listed and non-listed banks. However, we found that the listed and non-listed capital risks have not been synchronized over the years and have a weak correlation. In this respect, the paper aimed to examine the impact of the macroeconomic and bank-specific variables on the categorized capital risk to enhance the prediction performance of the capital risk in the banks. The results found that the capital risk of the listed banks is more susceptible to bank-specific and macroeconomic variables. In contrast, the non-listed banks are unaffected by the macroeconomic variables, confirming the importance of classifying capital risk before the examination to better manage and control the capital risk.