Credit Risk Modeling for Commercial Banks

Abstract

The aim of this paper is to examine the efficiency of two credit risk modeling (CRM) to predict the credit risk of commercial Iranian banks: (1) Logistic regression model (LRM); (2) Artificial neural networks (ANNs). The calculations have been done by using SPSS and MATLAB software. Number of samples was 316 and 5 dependent variables. The results showed that, artificial neural network is more proper to identify bad customers in commercial bank. The major contribution of this paper is specifying the most important determinants for rating of customers in Iran’s banking sector.

Authors and Affiliations

Asrin Karimi

Keywords

Related Articles

Exploring the Motivation behind Leakage of Internal Audit Reports (Whistle Blowing) in the Public Sector in Kenya

The objective of this study was to explore the various motivators behind leakage of internal audit reports in public sector in Kenya. Leakage of information was considered as a mild act of whistleblowing. This study made...

The Internal Auditing Procedures Effectiveness in Using Accounting Information System to Assess Fraud in Jordanian Commercial Banks

Accounting information system (AIS) is critical for managing financial data as well as assets of a bank. However, just as any IT system, AIS faces risks of an information breach, data manipulation, fraudulent entries, sy...

The Causal Relationship between Financial Decisions and Their Impact on Financial Performance

This study aimed to find a causal relationship between financial decisions (investment decision, Financing decision, and the dividend decision) and the causal relationship between those decisions and the financial perfor...

Does Quality of Non-Financial Information Disclosure Influence Firms’ Profitability in Malaysia?

The purpose of this study is to determine the level of quality of Non-Financial Information disclosure in Malaysia. Non-Financial Information disclosure in this study refers to Corporate Social Responsibility disclosure,...

Download PDF file
  • EP ID EP105380
  • DOI 10.6007/IJARAFMS/v4-i3/1811
  • Views 92
  • Downloads 0

How To Cite

Asrin Karimi (2014). Credit Risk Modeling for Commercial Banks. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(3), 187-192. https://europub.co.uk/articles/-A-105380