Volume 14, Issue 4 (2011)                   IQBQ 2011, 14(4): 137-164 | Back to browse issues page

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- -, - -, - -. Managing the Credit Risk of the Bank's Clients in Commercial Banks DEA Approach (Credit Rating). IQBQ. 2011; 14 (4) :137-164
URL: http://mri.modares.ac.ir/article-19-1827-en.html
Abstract:   (11979 Views)
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.
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Received: 2009/04/7 | Accepted: 2010/05/12 | Published: 2011/02/14

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