Odporność sektora bankowego w Polsce na szoki zewnętrzne w kontekście ryzyka kredytowego. Badanie zależności między zmiennymi makroekonomicznymi
Resilience of the Polish banking sector to external shocks in the context of credit risk. Analysis of the relationship between macroeconomic variables

Summary/Abstract: The aim of this article is to analyze the influence of the most important external macroeconomic factors to credit risk in the banking sector in Poland. The most important external factors of credit risk have been selected, among others, basing on the analysis of the structure of the portfolio of loans to non-financial sector in Poland. Tools used: Pearson’s correlation coefficients and rank coefficients (Kendall’s and Spearman’s), Granger’s causality test as well as conditional risk analysis (copula function) allowed for identifying the general nature of risks and dependencies.

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