Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Shafiee Samane; Khanmohammadi M. Hamed; Zarei Soodani Alireza; Agha Hosseinali Shirazi M.; MORADI ZAHRA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2021 | Volume:14 | Issue:51 Page(s): 19-32

Download Full-Text

Persian Verion

View:

255

Download:

Cites:

Information Journal Paper

Title

Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models

Author(s)

Keywords

Maximum accuracy of transfer information

accuracy ratio

structural model

diagnostic analysis model

Abstract

This study examine the Merton structural model based on market data and the discriminant analysis model based on accounting data in banks during 1386 to 1398. Due to the different structure of banks' balance sheets, for the first time, using the transformed data maximum likelihood estimation method and other liablilty with an adjustment and calculate the market value of assets and their volatility Using the stock price, we calculated the distance to default and the probability of default with the modified Merton model. Then, with the discriminant analysis model and Wilkes lambda index, we introduced a model based on accounting data to measure credit risk in banks. Among variables, inactive credits to total credits, total credits to main deposits and reserves to inactive credits have the most impact on determining the credit risk of banks, respectively, which is determined by z coefficients. The lower z score, the greater credit risk and vice versa. Finally, using the cumulative accuracy profile and accuracy ratio, which is a new method in determining an efficient model for credit risk, Merton's structural model is compared with z-score model, and finally Merton's structural model with an accuracy ratio of 70. 97 as an efficient model for measuring credit risk in banks.

Cites

No record.

References

No record.

Cite

APA: Copy

Shafiee, Samane, Khanmohammadi, M. Hamed, Zarei Soodani, Alireza, Agha Hosseinali Shirazi, M., & MORADI, ZAHRA. (2021). Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 14(51 ), 19-32. SID. https://sid.ir/paper/951586/en

Vancouver: Copy

Shafiee Samane, Khanmohammadi M. Hamed, Zarei Soodani Alireza, Agha Hosseinali Shirazi M., MORADI ZAHRA. Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2021;14(51 ):19-32. Available from: https://sid.ir/paper/951586/en

IEEE: Copy

Samane Shafiee, M. Hamed Khanmohammadi, Alireza Zarei Soodani, M. Agha Hosseinali Shirazi, and ZAHRA MORADI, “Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 14, no. 51 , pp. 19–32, 2021, [Online]. Available: https://sid.ir/paper/951586/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops