Forecasting Credit Risk in Banks Listed on Tehran Stock Exchange

Document Type : Original Article

Authors

1 Young Researchers and Elites Club ,Saveh branch ,Islamic azad university ,Saveh ,iran.

2 Faculty Member, Department of Accounting, University of Shahre-Ghods, Tehran, Iran.

3 PH.D Business Administration International Tendencies, Islamic Azad University Science and Research Branch of Tehran, Instructor at Islamic Azad University, Central Tehran Branch, Iran

Abstract

The present study aim is to offer a systematic method of assessing the credit risk of banks and also to identify key indicators using Decision Making Trial and Evaluation Laboratory (DEMATEL) technique as well as using Logit Regression in order to predict the credit risk of listed banks. The population of the study consists of the legal clients of the bank (Ansar Bank, Bank Saderat Iran, Bank Mellat, Parsian Bank, Bank Pasargad, Post Bank of Iran, Tejarat Bank, Sina Bank, Krafarin Bank, and Eghtesad Novin Bank), who have been granted facilities. The results of the study show that, implementing DEMATEL technique, the variable of asset turnover ratio is the most influential indicator among the examined indicators in predicting the credit risk of banks. In addition, the variables of cash ratio, free cash flow ratio, and current ratio are among the most effective variables, respectively, and the current ratio is the indicator mostly affected compared to other indicators. And according to the prediction made by Logit Model, 207 of the 276 clients, who were prompt in paying their dues, have been categorized properly. This indicates 70% of the dependent variables (y =0) have been predicted properly. Furthermore, 100 of the 176 clients, who were delinquent in paying dues, have been categorized properly. This means that 57% of the variables (y=1) have been predicted properly

Keywords

References

  1. Altman ,E.,Haldemn.R.G,Norayanon,P,zetaa analysis.(2001). :A new model to indentify bank ruptcy risk of corporations.hournal of Banking  &finance 1,1977.p29.Rose,peter.s,commercial Bank management ,4th Edition MC Grow-Hill,p19.

  2. Alipour Dehaki, F., Montazeri-al-Moshiri, R. and Rahmani Larmaei, Z. (2015), “Identification and prioritization of credit clients’ personal and financial factors in Cooperative Development Bank, Mazandaran Province. Presented in management, economics, accounting and Education, Sari.

  3. Asgharzadeh, Gholamreza (2006), “Mathematical modeling to determine the portfolio optimal combination of credits granted by financial institutions”, Quarterly Journal of Andisheh Sadegh, No. 23.

  4. Bahmani, Mahmoud (2007), “The proceedings of the 18th Annual World Islamic banking conference in Tehran”, the Higher Institute of Banking.

  5. Cheng EWL, Chaing YH, Tang BS;(2007) “Alternative approach to credit Rating by DEA:Evaluating borrowers with respect to PFI project “ Journal of Building and Environment, Vol,42.

  6. Feyzi, Ammar, Hashemi, Mohammad Ali (2013), “A model for assessing banks’ credit risk (case study: banks listed on Tehran Stock Exchange)”, the first national conference on monetary and banking management, Tehran, IRIB International Conference Center, January 28 and 29.

  7. Fallah Shams, Mir Fayz (2002), “Models for measuring credit risk in banks and credit institutions”, Quarterly Journal of New Economy.

  8. Leavy، S.، Kenett، D.، Avakian، A.، Stanley، E. و Havlin، S. (2015). Dynamical macroprudential Stress testing using network Theory. journal of banking & finance. (59)، 164–181.

  9. Min JH,Lee YC; (2007)“A Paractical approach to credit Rating “; Journal of Expert System With Applications ; doi:10.1016/j.eswa,08.070.

  10. Padeganeh, Yousef (2006), “Risk and risk management in organizations”, Quarterly Journal of bank Saderat Iran, No.39.

  11. Roy B;(1991) “The outranking approach and the foundation of  ELECTRE methods “ ; Theory and Decision , Vol.31.

  12. Rose ,peter,s.commercial, (1999):al bank management,4th Edition :M C Grow –Hill,

  13. Rabizadeh, Mohammad (2007), “Banks Outstanding Claims, Thousands Roads Not Taken”, Quarterly Journal of bank Saderat Iran, No. 32.

  14. Soleimani Amiri, Gholamreza (2002), “Indicators for predicting bankruptcy in Iran”, Master’s Thesis, Tehran University.

  15. Shirinbakhsh, Sh.A, Yoosefi, N. and Ghorbanzad, J. (2011). “Factors affecting the probability of non-repayment of banks’ credits (case study: legal clients of Export Development Bank of Iran), Quarterly Scientific-Research Journal of Financial Knowledge of Securities Analysis.

  16. Sinky Jr, Joseph F:(1992) “Commercial bank financial management “ ; 4th Edition ;Macmilla.

  17. Tehrani, Reza, Falah Shams, Mir Faiz (2005), “Designing and explaining the credit risk model in the Iranian banking system”, Journal of Social and Human Sciences, Shiraz University, Vol. 22, Accounting Special Issue.

  18. Turvey , C.G, (1991).credit scoring for agricultural loans:A review with application .Agricultural Finance Review 51, ph3-54.

  19. Ya Li, Yong Hu, Xiaoge Zhang, Yong Deng. (2014). “An evidential DEMATEL method to identify critical success factors in emergency management”, ELSEVIER, Volume 22, PP 504-510

International Journal of Finance & Managerial Accounting
Volume 1, Issue 3
October 2016
Pages 29-45

Files

Share

How to cite

Statistics