Mohammad Hossein Pourkazemi; Eldar Sedaghat Parast; Reza Dehpanah
Volume 3, 6, 7 , March 2018, Pages 1-23
Abstract
The purpose of this study is identifying factors affecting the probability of loan default and forecasting default probability of non-corporate (natural) customers of Pasargad bank by means of neural networks method (NNM). Variables influencing creation of default were identified through investigating ...
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The purpose of this study is identifying factors affecting the probability of loan default and forecasting default probability of non-corporate (natural) customers of Pasargad bank by means of neural networks method (NNM). Variables influencing creation of default were identified through investigating background studies and literature review. At the next step, data related to 470 customers were collected from a statistical population of 25342 people who received loans from Pasargad bank in Tehran region from 2013 to 2014. Results show that NNM could accurately forecast 92% of applicants default probability. According to NNM results, bad financial history or type of collateral have had more significant effect on default probability than the other input variables.
Yahya Hasas Yehaneh; Reza Habibi; Behzad Nazi
Volume 3, 6, 7 , March 2018, Pages 25-58
Abstract
A healthy and profitable banking system can better resist against economic shocks, and play a more prominent role in financial system stability. Banks failure has disastrous effects on banking system and its effects spread on other banks and affects the whole economy. The main objective of this study ...
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A healthy and profitable banking system can better resist against economic shocks, and play a more prominent role in financial system stability. Banks failure has disastrous effects on banking system and its effects spread on other banks and affects the whole economy. The main objective of this study is to investigate the impact of asset quality on financial distress in the country's banks. In this study, using financial ratios the effect of asset quality, payment facility and capital adequacy on financial distress indicators is examined. For this purpose, data from 18 banks during the years 1388 to 1394 are collected from Tehran Stock Exchange. Using the software EViews, data are analyzed using panel regression models. It is shown that the ratios of impaired loans to total loans and net charge offs to total loans have positive and significant effect on financial distress. The ratios of loan loss reserves to total loans and net loans to total assets have negative and significant effect on financial distress. Moreover, capital adequacy ratio has positive and significant effect on financial distress.
azam ahmadyan
Volume 3, 6, 7 , March 2018, Pages 59-93
Abstract
Loans are the largest asset and at the same time the largest source of credit risk for Iranian banking network. In fact, credit risk that may arise from a borrower failing to make required payments is one of the most important risks facing banks due to various reasons including the lack of credit standards, ...
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Loans are the largest asset and at the same time the largest source of credit risk for Iranian banking network. In fact, credit risk that may arise from a borrower failing to make required payments is one of the most important risks facing banks due to various reasons including the lack of credit standards, poor management of loans basket and the lack of attention to economic changes. Despite the importance of managing credit risk, we still observe a high level of credit risk for Iranian banks. Therefore, it is imperative that banks consider appropriate methods to measure credit risk and manage them in standardized ways and consider the capital needed to cover them. In this study, suitable criteria for assessing credit risks have been selected based on theoretical and empirical international advanced level literature. Then a critical threshold for credit risk management has been extracted using a kernel distribution function. Moreover, panel regression is employed to show the possible effect of the crisis of credit risk management on economic growth using the financial statements of Iranian banks and macroeconomic variables such as economic growth, inflation and interest rate during the period 1385-1394. The results also indicate that whenever the banking network performs poorly in credit risk management, the economic growth decreases with more severe trends.
Reza Mohseni; Maryam Fathian
Volume 3, 6, 7 , March 2018, Pages 95-130
Abstract
Non-performing loans are one of the most important data used to determine the efficiency of banks as well as the health of banking sector and the effects of financial crisis. In recent years, the increase in non-performing loans needs for more rigorous researches. On the other ...
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Non-performing loans are one of the most important data used to determine the efficiency of banks as well as the health of banking sector and the effects of financial crisis. In recent years, the increase in non-performing loans needs for more rigorous researches. On the other hand, economic activities have been facing considerable fluctuations in major macroeconomic indicators.
This study, therefore, aims at investigating the impact of fluctuations in macroeconomic variables on non-performing loans over the years 1978-2015 (during the Islamic revolution period) in Iranian banks.
In order to capture the aforementioned relationship, an EGARCH model has been employed. To meet the econometric validity requirements, vector auto regression (VAR) has been used to fit the proper model.
It is shown that the macroeconomic indicators have significant impacts on NPLs, more precisely the ratio of non-performing to total loans. According of the results, most of the long term changes in NPLs are explained by their past values and other important variables including oil revenue, budget deficit, inflation, GDP and unemployment rate.
Vali Nadi Qomi; Bahareh Hajizadeh; Abbas Gomar
Volume 3, 6, 7 , March 2018, Pages 131-156
Abstract
Financial theorists have always focused on the ability of companies to manage earnings through the use of accounting methods for accruals. Evidence from some empirical research shows that earnings management is possible through the use of financial leverage and capital management and generally managing ...
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Financial theorists have always focused on the ability of companies to manage earnings through the use of accounting methods for accruals. Evidence from some empirical research shows that earnings management is possible through the use of financial leverage and capital management and generally managing capital structure. The earnings management by banks is also implemented through monitoring loan-loss provision and net charge-off loans. This study investigates the relationship between "financial leverage and liquidity" and "earnings and capital management" of commercial banks listed in Tehran Stock Exchange (TSE) during the years 1385 to 1393. Data have been extracted from financial statements and their accompanying notes of some selected banks and Excel has been used to classify the data. Data analysis is also done using EViews software. The results from hypothesis testing show that there is a significant relationship between the liquidity ratios and financial leverage, earnings management and capital management in commercial banks.
Reza Pezeshki; Samaneh Pahlavan
Volume 3, 6, 7 , March 2018, Pages 157-177
Abstract
This study investigates the relationship between credit and liquidity risks and the prediction ability of profitability of accepted banks in Tehran Stock Exchange (TSE). Data are collected from all banks and financial and credit institutions listed in TSE during the years 1390 to 1394. The sample includes ...
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This study investigates the relationship between credit and liquidity risks and the prediction ability of profitability of accepted banks in Tehran Stock Exchange (TSE). Data are collected from all banks and financial and credit institutions listed in TSE during the years 1390 to 1394. The sample includes 11 banks and financial and credit institutions, and credit and liquidity risks are independent variables where the ability to predict short-term and long-term benefits are dependent variables. Three control variables, that is profit per share, financial leverage and asset growth, have also been used. Results show that there is no significant relationship between credit risk and the ability to predict long-term and short-term profitability of accepted banks in TSE. Moreover, there is a significant relationship between liquidity risk and the ability to predict long-term and short-term profitability of accepted banks in TSE.
Neda Farahbakhsh
Volume 3, 6, 7 , March 2018, Pages 179-205
Abstract
The purpose of this research is to investigate the effect of macroeconomic variables on risks for Iran banking system during the years 1370 to 1395. In this regard, gross domestic production, inflation and degree of openness have been considered as exogenous variables where the ratios of time deposits ...
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The purpose of this research is to investigate the effect of macroeconomic variables on risks for Iran banking system during the years 1370 to 1395. In this regard, gross domestic production, inflation and degree of openness have been considered as exogenous variables where the ratios of time deposits to total deposits, off balance sheet items, and loans to total assets being endogenous variables. Using Johanson-Yoselius Test, it is revealed that GDP has a positive significant effect on deposit ratios and off balance sheet items, and negative significant effect on loans to assets ratio.
In all the models, inflation has a positive impact on endogenous variables. Moreover, it is shown that in two out of three models, degree of openness has a positive and significant effect on deposits ratio.
