The study of effective factors on probability of default banks' credit facilities (The case study of legal customer of Export Development Bank of Iran)

Subject Areas : Financial Knowledge of Securities Analysis

شمس اله شیرین بخش ¹ , ندا یوسفی ² , جهانگیر قربان زاد ³

1 - ندارد
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Received: 2011-08-11 Accepted : 2011-11-22 Published : 2012-03-10

Keywords: credit risk, Financial Ratios, logit regression model, maximum likelihood&#x0D, &#x0D, method, default probability, liquidity, Free cash flow,

Abstract :

The aim of this research is to verify effective factors of legal counterparty creditrisk of Export Development Bank of Iran (EDBI), and design a probability of defaultmeasurement model using logit regression.330 probability samples were selected from companies that took loans in year 1387(2008-2009) including 256 good pay bank customers and 65 bad pay bank customers.Seven variables have been recognized which have significant influence atcompanies' credit risk among 13 selected financial ratios as effective explanatoryvariables in default probability based on statistics indexes and economic and financialtheories. after significant examining total of the regression with LR statistic finalmodel in 5% level of significance created by them.The results expressed that cash flow on total debt ratio (CSDT), assets turnoverratio (SATA), current ratio (CACD) and liquidity ratio (LR) have a reverse effect oncredit risk. Free cash flow ratio (RETA), total debt ratio (TDTE) and current debts tonet worth ratio (CDTE) have a direct effect on credit risk.