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 (Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.)
farhad hanifi ² (Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran. (Author).)
gholamreza zomorodian 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..

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