بررسی اثر تنوع‌گرایی دارایی و تسهیلات بانک‌ها بر ریسک بانکی (مورد مطالعه: بانک‌های خصوصی در ایران)
محورهای موضوعی : دانش سرمایهگذاریموسی بزرگ اصل 1 , علیرضا اکبری ماسوله 2 , محمد جواد محقق نیا 3 , محمد تقی تقوی فرد 4
1 - استادیار، گروه مدیریت مالی وحسابداری ،دانشگاه علامه طباطبائی، تهران، (نویسنده مسئول)
2 - دانشجوی دکتری مدیریت مالی، دانشگاه علامه طباطبایی، تهران
3 - استادیار، گروه بانکداری اسلامی، دانشگاه علامه طباطبائی، تهران
4 - دانشیار، گروه مدیریت صنعتی، دانشگاه علامه طباطبائی، تهران
کلید واژه: ریسک بانکی, تنوع‌گرایی, شاخص هرفیندال هریشمن,
چکیده مقاله :
مبحث تنوع گرایی و ریسک بانکی یکی از موضوعات مهم در عرصه ادبیات بانکی است. این مقاله به بررسی این موضوع می پردازد که اثر تنوع گرایی در بخش دارایی ها و ارائه تسهیلات در بخش های مختلف اقتصادی چه اثری بر ریسک دارد. دارایی ها بر اساس تقسیم چهارگانه دارایی ها به جز تسهیلات شامل دارایی ثابت، اوراق بهادار ،سرمایه گذاری و تسهیلات اعطایی براساس بخش های اقتصادی که شامل کشاورزی ،صنعت و معدن ،ساختمان و مسکن، بازرگانی ،خدمات و صادرات می باشد. برای بررسی این موضوع بانک های فعال در بورس اوراق بهادارتهران شامل 12 بانک ملت، صادرات، تجارت، پارسیان، اقتصادنوین، پاسارگاد، سینا، حکمت، دی، سرمایه، پست بانک، کارآفرین، مورد بررسی قرار گرفتند.دوره مورد بررسی این مطالعه سال های 1390 تا 1394 را در برمی گیرد همچنین برای تحلیل داده ها از داده های ترکیبی و یک مدل پنل برای بررسی رابطه ریسک و تنوع گرایی استفاده گردید. نتایج حاصل از برآورد مدل نشان داد که رابطه مثبت و معنی داری بین تمرکز گرایی و ریسک بانکی وجود دارد که تاییدکننده ی نظریات مرسوم در حوزه بانکداری در زمینه ریسک و تنوع گرایی است و همچنین دلالت سیاستی مبنی بر متنوع سازی بانک ها در زمینه دارایی و ارائه تسهیلات برای مواجه با ریسک کمتر دارد.
The realtionship between risk and diversification is an important issue in banking. This paper evaluated the impact of diversification in loans and asset on risk. Assets based on a fourfold division of assets other than loans, including fixed assets, securities, investment and facilities granted by economic sectors including agriculture, industry and mining, construction, housing, trade, services and export.The sample of study was 12 listed banks in Tehran Stock Exchange included Saderat, Mellat, Tejarat, Parsian, Eghtesad Novin, Pasargad, Sina, Hekmat, Day, Sarmaye, Postbank, and Karafrin. The period of study was from 2011 to 2015. The method of study was panel data that used a model for investigating the relationship between risk and diversification. Findings showed that there was a positive and significant relationship between risk and concentration. This result confirmed the traditional therory in banking about risk and diversification. Also, the results have the important policy implications to banks for decreasing risk in loans and deposits.
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