THE STUDY OF EFFECTIVE FACTORS ON PROBABILITY OF DEFAULT BANKS' CREDIT FACILITIES (THE CASE STUDY OF LEGAL CUSTOMER OF EXPORT DEVELOPMENT BANK OF IRAN)

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SHIRINBAKHSH SHAMSOLAH; YOUSEFI NEDA; GHORBANZAD JAHANGIR

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2012 | Volume:4 | Issue:12 Page(s): 111-137

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Title

THE STUDY OF EFFECTIVE FACTORS ON PROBABILITY OF DEFAULT BANKS' CREDIT FACILITIES (THE CASE STUDY OF LEGAL CUSTOMER OF EXPORT DEVELOPMENT BANK OF IRAN)

Author(s)

SHIRINBAKHSH SHAMSOLAH | YOUSEFI NEDA | GHORBANZAD JAHANGIR | Issue Writer Certificate

Keywords

CREDIT RISKQ2

FINANCIAL RATIOSQ4

LOGIT REGRESSION MODELQ4

MAXIMUM LIKELIHOOD METHODQ4

DEFAULT PROBABILITYQ3

LIQUIDITYQ4

FREE CASH FLOWQ3

Abstract

The aim of this research is to verify effective factors of legal counterparty CREDIT RISK of Export Development Bank of Iran (EDBI), and design a probability of default measurement model using logit regression.330 probability samples were selected from companies that took loans in year 1387 (2008-2009) including 256 good pay bank customers and 65 bad pay bank customers.Seven variables have been recognized which have significant influence at companies' CREDIT RISK among 13 selected FINANCIAL RATIOS as effective explanatory variables in DEFAULT PROBABILITY based on statistics indexes and economic and financial theories. After significant examining total of the regression with LR statistic final model in 5% level of significance created by them.The results expressed that cash flow on total debt ratio (CSDT), assets turnover ratio (SATA), current ratio (CACD) and LIQUIDITY ratio (LR) have a reverse effect on CREDIT RISK. FREE CASH FLOW ratio (RETA), total debt ratio (TDTE) and current debts to net worth ratio (CDTE) have a direct effect on CREDIT RISK.

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APA: Copy

SHIRINBAKHSH, SHAMSOLAH, YOUSEFI, NEDA, & GHORBANZAD, JAHANGIR. (2012). THE STUDY OF EFFECTIVE FACTORS ON PROBABILITY OF DEFAULT BANKS' CREDIT FACILITIES (THE CASE STUDY OF LEGAL CUSTOMER OF EXPORT DEVELOPMENT BANK OF IRAN). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 4(12), 111-137. SID. https://sid.ir/paper/200200/en

Vancouver: Copy

SHIRINBAKHSH SHAMSOLAH, YOUSEFI NEDA, GHORBANZAD JAHANGIR. THE STUDY OF EFFECTIVE FACTORS ON PROBABILITY OF DEFAULT BANKS' CREDIT FACILITIES (THE CASE STUDY OF LEGAL CUSTOMER OF EXPORT DEVELOPMENT BANK OF IRAN). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2012;4(12):111-137. Available from: https://sid.ir/paper/200200/en

IEEE: Copy

SHAMSOLAH SHIRINBAKHSH, NEDA YOUSEFI, and JAHANGIR GHORBANZAD, “THE STUDY OF EFFECTIVE FACTORS ON PROBABILITY OF DEFAULT BANKS' CREDIT FACILITIES (THE CASE STUDY OF LEGAL CUSTOMER OF EXPORT DEVELOPMENT BANK OF IRAN),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 4, no. 12, pp. 111–137, 2012, [Online]. Available: https://sid.ir/paper/200200/en

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