Credit risk management in banks using a hybrid approach

Subject Areas : Financial engineering

Narges Delafrooz ¹ , Mahdi Homayounfar ² , maryam taghipour tamijani ³

1 - Assistant Professor, Faculty of Management and Accounting, Department of Business Management, Rasht Branch, Islamic Azad University, Rasht, Iran
2 - Department of Industrial Management, Faculty of Management and Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran
3 - Ph.D of Business Administration, Iran University of Industry and Mines,Tehran, iran

Received: 2018-06-10 Accepted : 2018-07-10 Published : 2019-03-21

Keywords: Credit Risk, Multi-Criteria Decision, Network Analysis Process (ANP), DEMATEL Technique,

Abstract :

Credit risk management in banks using a hybrid approachAmong the risks faced by banks, the risk to the bank is very high, and the lack of prevention and, in the event of a risk, lack of control and failure to investigate the causes and remedies, can lead to irreparable losses to the bank. It is a credit risk. To this end, raising awareness of the system in order to prevent and mitigate the risk and examine the issues and ultimately make a decision to address the problem has a special importance in the supervision of banks. The main objective of this research is to present a suitable model for managing credit risk in banks using the DEMATEL combined approach and network analysis process (ANP). In this study, 17 variables were identified using expert judgment (method Delphi) have been approved. The statistical population of the study is managers and specialists of the bank (Sardar Bank, Guilan Province). The tool used to collect the research data was a questionnaire. A total of 8 questionnaires were distributed among the research experts. Data analysis was done using the DEMATEL and ANP techniques. In this way, after the formation of a super matrix for comparing the criteria in ANP and solving the model, the coefficient of importance of each criterion was determined. The coefficients obtained in the next step were interfered.By analyzing data in the DEMATEL technique and process, it was found that among the 17 identified criteria affecting credit risk in banks, operational risk has the most impact on credit risk. A mong the operational risk criteria, the quality of the facility review process has the greatest impact. In other words, this criterion is the most important criterion in terms of impact and impact on the whole system. Also, the risk of focus is also of high importance throughout the system. The results of this research are useful in managing bank risk management.