Designing ‏and ‏explaining ‏the ‏ranking ‏model ‏and ‏credit ‏rating ‏transfer ‏using ‏data ‏envelopment ‏analysis ‏model ‏and ‏Markov ‏chain

Subject Areas : Management Accounting

farid heidarifard ¹ , farhad hanifi ² , gholamreza zomorodian ³

1 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran. (Author).
3 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2021-08-04 Accepted : 2022-02-23 Published : 2022-08-23

Keywords: Credit ‏risk, ‏Credit ‏rating, ‏Financial ‏and ‏non-financial, ‏data ‏envelopment ‏analysis, Markov ‏Chain ‏Process,

Abstract :

In ‏this ‏study, ‏using ‏factor ‏analysis ‏technique ‏and ‏Delphi ‏method, ‏the ‏variables ‏affecting ‏credit ‏risk ‏were ‏selected ‏and ‏entered ‏into ‏the ‏data ‏envelopment ‏analysis ‏model, ‏and ‏the ‏efficiency ‏scores ‏of ‏Tejarat ‏Bank ‏legal ‏and ‏credit ‏companies ‏listed ‏on ‏the ‏stock ‏exchange ‏were ‏obtained ‏using ‏them. ‏Then ‏the ‏ranking ‏is ‏done ‏by ‏the ‏model ‏of ‏Fitch ‏Institute ‏and ‏using ‏the ‏results, ‏the ‏transfer ‏of ‏customers ‏in ‏different ‏groups ‏is ‏predicted ‏using ‏the ‏Markov ‏chain ‏process. ‏The ‏results ‏of ‏data ‏envelopment ‏analysis ‏indicate ‏that ‏7 ‏companies ‏were ‏identified ‏as ‏efficient ‏in ‏the ‏financial ‏approach ‏and ‏12 ‏companies ‏in ‏the ‏combined ‏approach. ‏The ‏results ‏of ‏the ‏Markov ‏chain ‏show ‏that ‏the ‏average ‏probability ‏of ‏stopping ‏at ‏the ‏current ‏rank ‏in ‏1400 ‏in ‏the ‏financial ‏condition ‏is ‏46% ‏and ‏in ‏the ‏combined ‏mode ‏is ‏53% ‏and ‏the ‏average ‏probability ‏of ‏improvement ‏of ‏the ‏companies ‏is ‏23% ‏and ‏the ‏average ‏probability ‏of ‏the ‏decline ‏is ‏20%. ‏Turns..

References:

• Abbasian, ‏Ezatollah, ‏Hosseini ‏Doost, ‏Ehsan, ‏2012, ‏"Comparison ‏of ‏nonlinear ‏linear ‏dynamics ‏models ‏in ‏the ‏stock ‏market ‏forecast", ‏Quarterly ‏Journal ‏of ‏Financial ‏Accounting, ‏Fourth ‏Year


• Azazi, ‏ ‏2013. ‏Dynamic ‏Multi-Objective ‏Model ‏of ‏Fuzzy ‏Data ‏Envelopment ‏Analysis. ‏Research. ‏Government ‏- ‏Ministry ‏of ‏Science, ‏Research, ‏and ‏Technology ‏- ‏Shahid ‏Madani ‏University ‏of ‏Azerbaijan ‏- ‏Faculty ‏of ‏Basic ‏Sciences. ‏1392. ‏Master's ‏degree. ‏


• Collins, ‏Micheal ‏ ‏(2009), ‏Restoring ‏Confidence ‏in ‏the ‏Banking ‏System, ‏SRC ‏Insight, ‏13(4)


• Cyert, ‏ ‏M., ‏Davidson, ‏H. ‏J., ‏& ‏Thompson, ‏G. ‏L. ‏(1962). ‏“Estimation ‏of ‏the ‏allowance ‏for ‏doubtful ‏accounts ‏by ‏Markov ‏chains”. ‏Management ‏Science, ‏vol8, ‏pp ‏287-303


• Frydman, ‏, ‏Kallberg, ‏J. ‏G., ‏& ‏Kao, ‏D. ‏L. ‏(1985).”Testing ‏the ‏adequacy ‏of ‏Markov ‏chain ‏and ‏mover-stayer ‏models ‏as ‏representations ‏of ‏credit ‏behavior”.Operations ‏Research,vol.33, ‏NO. ‏4, ‏p ‏13-1203


• KIM ‏J ‏AN(1999) ‏Application ‏of ‏factor ‏analysis ‏in ‏social ‏research ‏with ‏spss ‏software ‏commands,Tehran:Salman ‏Publication


• Mousavi, ‏Seyed ‏Bahzad ‏et ‏1392, ‏Presenting ‏a ‏Model ‏for ‏Predicting ‏Bank ‏Loan ‏Portfolios ‏Using ‏Discrete ‏Markov ‏Chain, ‏First ‏National ‏Conference ‏on ‏Monetary ‏and ‏Banking ‏Management ‏Development, ‏February ‏2014


• Mirghfouri, ‏Seyed ‏Habibollah, ‏Shafiee ‏Rudpashti, ‏Meysam, ‏Nadafi, ‏Ghazaleh, ‏Summer ‏2011, ‏Comparison ‏and ‏ranking ‏of ‏financial ‏performance ‏of ‏provincial ‏telecommunication ‏companies ‏with ‏the ‏collective ‏model ‏approach ‏of ‏data ‏envelopment ‏analysis ‏and ‏cross-efficiency ‏method, ‏Journal ‏of ‏Management ‏and ‏Development ‏Process


• Parsaiyan, ‏Ali ‏(1378) ‏”Risk ‏ ‏Dimensions ‏of ‏risk ‏management, ‏its ‏definition ‏and ‏application ‏in ‏financial ‏organizations ‏", ‏Financial ‏Research, ‏Fourth ‏Year, ‏No. ‏13, ‏pp. ‏125-144


• Piri, ‏Parviz; ‏Gholamreza ‏Mansourfar ‏and ‏Golshan ‏Mohammadi ‏Khaneghah, ‏2009, ‏The ‏effect ‏of ‏accrued ‏earnings ‏management ‏on ‏credit ‏rating ‏in ‏the ‏form ‏of ‏emerging ‏market ‏score ‏model, ‏17th ‏National ‏Accounting ‏Conference ‏of ‏Iran, ‏Qom, ‏Farabi ‏Campus, ‏University ‏of ‏Tehran


• Rajabzadeh ‏Moghani, ‏ ‏1396. ‏Study ‏of ‏effective ‏factors ‏on ‏credit ‏risk ‏of ‏bank ‏customers ‏using ‏survival ‏analysis ‏method ‏(Case ‏study ‏of ‏housing ‏bank). ‏Research. ‏Government ‏- ‏Ministry ‏of ‏Science, ‏Research, ‏and ‏Technology ‏- ‏Ferdowsi ‏University ‏of ‏Mashhad ‏- ‏Faculty ‏of ‏Economics. ‏1396. ‏PhD. ‏


• Salehi, ‏Fahima; ‏Mojtaba ‏Salehi ‏and ‏Meysam ‏Jafari ‏Eskandari, ‏2014, ‏Optimization ‏of ‏the ‏portfolio ‏of ‏facilities ‏granted ‏by ‏financial ‏institutions ‏using ‏mathematical ‏planning ‏and ‏genetic ‏algorithm ‏(Case ‏study ‏of ‏Tejarat ‏Bank), ‏Monetary ‏and ‏Banking ‏Management ‏Development ‏Quarterly ‏2 ‏(3)


• Salehi ‏Rad, ‏Mohammad ‏Reza, ‏Ahmadi, ‏Somayeh, ‏Fall ‏2011, ‏Calculating ‏the ‏Probability ‏of ‏Bankruptcy ‏of ‏Insurance ‏Companies ‏Using ‏the ‏Markov ‏Chain, ‏Insurance ‏Research ‏Journal ‏of ‏the ‏Twenty-sixth ‏Year, ‏Serial ‏Number ‏103, ‏Pages ‏29 ‏to ‏50


• Turkan, ‏Saeed, ‏2016, ‏Presenting ‏a ‏Model ‏for ‏Predicting ‏Bank ‏Loan ‏Portfolio ‏Behavior ‏Using ‏Discrete ‏Markov ‏Chain ‏Model, ‏Fifth ‏International ‏Conference ‏on ‏Accounting ‏and ‏