Calculating the probability of default of sample banks in Iran Using The Systemic Model Of Banking Originated Losses(SYMBOL)

Subject Areas : Computational economics

Mohsen  Golniya ¹ (بانک مسکن)
Ramin  Khochiani ² (Department of Economics, Ayatollah Boroujerdi)
Hamid  Asayesh ³ (Department of Economics, Ayatollah Boroujerdi University,)

Received: 2023-01-03 Accepted : 2023-04-26 Published : 2023-02-20

Keywords: Probability of default, , , , , SYMBOL Model, , , , , Interbank effects,

Abstract :

The probability of default is the degree of certainty that a particular bank will default or that the counterparty will not repay its obligations according to the agreement. This article seeks to calculate the default probability of sample banks in the banking network of Iran, for this purpose, using the new approach of the systemic model of bank losses and the Monte Carlo simulation method, to calculate the probability of bank default in the two cases of the presence and absence of contagion effects between Bank is paid. The sample includes 15 Iranian banks and the time period of 2017. The results indicate that in the studied sample, the situation of banks' capital is not favorable for covering leading risks, the probability of bank defaults has a negative and significant relationship with the criteria of banks' excess capital, and with the increase of inter-bank correlation, a kind of There is a cluster effect of bank defaults, and the default of one or more banks can lead to a banking crisis and the collapse of the entire banking system.