This research has been done with the aim of identification of the effective
factors that influence credit risk and designing a model for the credit rating
of the legal clients of Tejarat Bank in 2003-2004 by using Data Envelopment
Analysis. For this purpose, the necessary sample data on financial ...
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This research has been done with the aim of identification of the effective
factors that influence credit risk and designing a model for the credit rating
of the legal clients of Tejarat Bank in 2003-2004 by using Data Envelopment
Analysis. For this purpose, the necessary sample data on financial and nonfinancial
information of 146 companies (as random simple) was selected. In
this research, 27 explanatory variables (including financial and non-financial
variables) were identified and examined. Finally, with the application of
factor analysis and Delphi method, 8 variables, which had significant effect
on credit risk, were selected and entered into the DEA model. Efficiency of
the companies was calculated by using these variables. Then the model
validity was measured by regression analysis. The DEA credibility scores
represented the dependent variables while the 8 ratios used were considered
as independent variables. The findings of the research showed that 25
companies stand on the border of efficiency. Also with one exception
(owners equity/ total asset), ’all variables had the expected direction
α = %5 .
Research conclusions confirmed the hypothesis of DEA model’s
efficiency on credit rating of the companies who have taken credit facilities
from branches of Tejarat Bank in Tehran city.
