Comparative survey of credit risk models based on accounting information and market information from the perspective of stakeholders
Subject Areas : Financial engineering
Mohammad Roshandel
1
,
Fereydon Rahnama Rodposhti
2
,
Mirfeyz Fallah
3
,
Hashem Nikoomaram
4
1 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
4 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
Keywords: Credit Risk, Logit, Shareholder, Z- score, Merton,
Abstract :
This study compares the credit risk of banks from the perspective of stakeholders through two models based on accounting information and a model based on market information. The purpose is to evaluate the performance of models that estimate the bank's credit risk either from accounting data or share price information. In Merton model, the value of equity is determined and by estimating the daily value of assets according to the model and comparing it with the value of debts, the bank's credit risk is determined. In the Logit model, changes in the NPL of the bank is compared with this ratio in the industry and credit risk is considered as a binary variable. The Z-score model uses changes in the ratio of return on assets and the ratio of equity to total assets and standard deviation of return on assets. Independent research variables are five groups leverage ratios, management efficiency, profitability quality, financial health, and liquidity. In this study, a sample of banks during the period from 2007 to 2017 has been selected and using the Rock Statistics test, all models are above the middle and are efficient. Their efficiency, respectively is 99.48%- 98.38% and 92.68%.
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