Credit Risk Test Stress Model of the Banking Industry under Macroeconomic Scenarios

Subject Areas : Statistics

mohsen Ziaee Bidhendy ¹ , Mehrzad Minooee ² , Mirfaz Fallah shams ³

1 - Department of Finance, School of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Finance, School of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Department of Finance, School of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

Received: 2021-03-02 Accepted : 2021-06-24 Published : 2021-07-23

Keywords: نرم افزار اقتصادسنجیE-Views 10, بحران مالی: اقتصاد کلان, صنعت بانکداری,

Abstract :

The main reason for conducting the present study is to design and explain the credit crunch risk test model of the banking industry under macroeconomic scenarios. In addition to the use of documents and reports related to the banking industry, the panel data related to the annual reports and datasets of the banking industry were used. In the present study, in order to perform econometric analyzes, E-Views software was used and Matlab artificial intelligence environment was used to design an intelligent system. Then, based on the GARCH method, the regression statistics related to the GARCH model for the fluctuations between the research objective function and GDP growth rate, interest rate, unemployment rate, inflation rate and per capita income growth rate are calculated equal to 0.927, which indicates very high predictive power. The econometric model of research is. One of the most important results of the present study is that according to the calculations performed, the bank's credit portfolio to reduce the probability of default is exactly 91 percent (the fifth level of system output is excellent).

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