This paper investigates the variation in nonperforming loans over the economic cycle and the effect of past returns based on a nonparametric quantile analysis of the largest Islamic banks in the United Kingdom and Turkey from 2010 to 2019. The findings show a weak variation in nonperforming loans that increases with an increasing return on assets and a decreasing return on equity and decreases in an inverse scenario. As a result, the credit risk of Islamic banks is countercyclical. We suggest that the inverse relationships evidence the existence of trade-offs within bank returns and credit risk. Thus, banks’ past profitability and risk mitigation are determinants of asset quality. These findings provide support for risk-taking and risk-sharing principles in which flight-to-safety mirrors the calibration of risk factors in a disruptive economy. Our estimates indicate that nonparametric quantile regression captures considerably more variation in a risk-return analysis.

本文基于2010年至2019年英国和土耳其最大的伊斯兰银行的非参数分位数分析，研究了经济周期内不良贷款的变化以及过去收益的影响。研究结果表明，不良贷款的变化很小，随着资产收益率的增加和权益收益率的下降而增加，反之则下降。结果，伊斯兰银行的信贷风险是反周期的。我们建议反向关系证明了银行收益和信贷风险之间存在权衡取舍。因此，银行过去的盈利能力和减轻风险是资产质量的决定因素。这些发现为风险承担和风险分担原则提供了支持，在这些原则中，逃亡安全反映了颠覆性经济中风险因素的校准。