Analyzing the Effects of Macroeconomic Environment on the credit risk of applicants for credit guarantees of the Export Guarantee Fund of Iran

Subject Areas : Financial Economics

Farshid Ahmadi Sartakhti ¹ , کامبیز هژبر کیانی ^{2 *} , Sayyed Shamsoddin Hosseini ³ , عباس معمارنژاد ⁴

1 - دانشجوی دکتری
2 - استاد گروه اقتصاد، دانشگاه شهید بهشتی، تهران، ایران
3 - دانشگاه آزاد اسلامی
4 - عضو هیات علمی واحد علوم وتحقیقات

Received: 2022-11-22 Accepted : 2024-08-10

Keywords: : Credit Risk, Export Guarantee Fund of Iran, Logit Model, Probit Model.,

Abstract :

Over the last decade, the Export Guarantee Fund of Iran has accepted a risk of about $ 15.8 billion through the issuance of various types of guarantees and insurance policies, with the largest amount of claims payment related to credit guarantees issued in favor of creditors. Therefore, in this paper, we have tried to identify the factors affecting the credit risk of applicants for credit guarantees of the Export Guarantee Fund of Iran. For this purpose and for the first time, data of 2170 payment credit files have been collected. In addition, due to the nature of the dependent variable - which is a dummy variable - two econometric models of logit and probit have been applied to estimate the econometric model. The results indicate that the province of the borrower company, the beneficiary of the credit guarantee (credit paying bank), the number of employees in the company, economic growth of Iran and the current ratio have a positive effect on loan settlement while the real interest rate and operating cycle has a negative effect on the probability of settlement of received credit.