Forecasting Credit Risk in Banks Listed on Tehran Stock Exchange
Journal Title: International Journal of Finance and Managerial Accounting - Year 2016, Vol 1, Issue 3
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
Authors and Affiliations
Ammar Feyzi, Mohammadreza Ghorbanian, Valalioalah Berangi
Keywords
Related Articles
- EP ID EP541128
- DOI -
- Views 47
- Downloads 0
The Effect of Personality Characteristics of Capital Market Analysts on Investment Trends, Risk and Return of their Performance
The relationship between finance and other social sciences as known behavioural finance, evaluate investors to the decision-making process and their reaction to different conditions of financial markets deals. In this st...
The Effect of Internal Control Weakness on Investment Efficiency of Companies Listed in Tehran Stock Exchange
This study explores the effect of internal control weakness on investment efficiency of companies listed in Tehran Stock Exchange. The statistical population included all companies listed in Tehran Stock Exchange during...
Evidence on Asset Sales and Income Management: Case of Iran
This study empirically examines whether managers manipulate reported income through the timing of sales of long-lived assets and investments. Several empirical implications of the income-smoothing and debt-equity hypothe...
Shareholder Wealth Effects of MANAGEMENT Regulatory COMPLIANCE
Purpose: This paper addresses whether and how the Sarbanes-Oxley Act of 2002(SOX) affects shareholder wealth (firm value) by focusing on the trade-off between improved corporate governance leading to a lower cost of capi...
Explaining the Role of Management Accounting Information System in Strategy Formulation with Actors Network Approach
The real challenge of business environment is derived from a situation where organizations need to find opportunities on how to introduce ideas and new products to market that provide future earnings stream. Management a...