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)
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..
_||_