Investigating Factors Affecting Credit Risk Customers' Credit Risk Using Survival Function Analysis (Tehran Branches)
Subject Areas : Journal of Investment Knowledge
ahmadreza
elahi
1
(Phd Student in Financial Management, Department Of Science and Research Branch, Azad University, Ilam, iran,)
rahmatollah
mohamadipur
2
(PhD Of Accounting, Department Of Science and Research Branch, Azad University, Ilam, Iran,)
esfandiar
mohamadi
3
(Ph.D. of Strategic Management, Ilam University, Iran,)
Keywords: Welfare Bank, Borrower Conditions, Survival Function, credit risk,
Abstract :
Credit risk is one of the most important risks in the banking industry. This study aimed to identify factors that influence credit risk (such as loan characteristics, individual customer characteristics, and macroeconomic factors). For this purpose, a random sample of 5 customers who borrowed from Refah Bank during the period 19-92-92 was used. This paper investigates the factors affecting customer default risk using conventional survival analysis models including Kaplan-Meier nonparametric model and Cox pseudo-parametric model.The results of the model showed that variables such as loan amount, number of installments, number of children, education, age, type of job and job title influenced the survival and risk function curves. In the short-term (eg, one-year) horizon, the economic conditions of the community play a key role in the failure of these customers.
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