طراحی مدل ریاضی سنجش ریسک اعتباری بوسیله رتبه‌‌‌بندی اعتباری با بهره‌برداری از مدل تحلیل پوششی داده‌‌‌ها

محورهای موضوعی : آمار

فرید حیدری فر ¹ ( گروه مالی، دانشکده مدیریت، دانشگاه آزاد واحد تهران مرکزی، تهران، ایران )
فرهاد حنیفی ² ( گروه مالی، دانشکده مدیریت، دانشگاه آزاد اسلامی واحد تهران مرکزی، تهران، ایران )
غلامرضا زمردیان ³ ( گروه مالی، دانشکده مدیریت، دانشگاه آزاد واحد تهران مرکزی، تهران، ایران )

تاریخ دریافت : 1399/12/12 تاریخ پذیرش : 1400/04/04 تاریخ انتشار : 1401/11/01

کلید واژه: شاخص‌های ریسک اعتباری, تحلیل پوششی داده‌ها, صنعت بانکداری, رتبه‌بندی اعتباری,

چکیده مقاله :

نظام بانکی کارآمد، موثرترین وسیله برای توسعه اقتصادی بوده و مهم‌ترین وظیفه بانک‌ها تخصیص منابع در قالب تسهیلات بانکی است و طراحی و استقرار مدل رتبه‌بندی اعتباری نقش موثری در افزایش کارآمدی بانک‌ها در تجهیز منابع دارد. در پژوهش حاضر به طراحی و تبیین مدل رتبه‌‌‌بندی اعتباری با بهره‌برداری از مدل تحلیل پوششی داده‌‌‌ها، پرداخته شد. نمونه آماری مربوط به اطلاعات مشتریان حقوقی پذیرفته شده در بورس اوراق بهادار و دریافت کننده تسهیلات از بانک تجارت در طی سال‌های 1398 تا1399؛ بیان نمود. در این زمینه، 30 متغیرتوضیح دهنده شامل متغیرهای مالی و غیر مالی مورد بررسی قرار گرفت. از بین متغیرهای موجود نهایتاً با استفاده از تکنیک تجزیه و تحلیل عاملی و روش دلفی متغیرهای تأثیرگذار بر ریسک اعتباری انتخاب و وارد مدل تحلیل پوششی داده‌ها شده است و امتیازات کارایی شرکت‌های حقوقی با استفاده از آن‌ها به دست آمد. نتایج حاصل از مقایسه‌ی دو مدل تحلیل پوششی داده‌ها حاکی ازآن است که اعتبار مدل مالی 072/0 ازمدل ترکیبی بیشتر است. در رویکرد مالی 7 شرکت کارا بوده و در رویکرد ترکیبی 12 شرکت کارا تشخیص داده شد.

چکیده انگلیسی:

An efficient banking system is the most effective means for economic development, and the most important task of banks is to allocate resources in the form of banking facilities, and the design and establishment of the credit rating model has an effective role in increasing the efficiency of banks in equipping resources. In the current research, the design and explanation of the credit rating model was done using the data envelopment analysis model. Statistical sample related to the information of legal clients admitted to the stock exchange and receiving facilities from Tejarat Bank during the years 2018 to 2019; expressed In this context, 30 explanatory variables including financial and non-financial variables were examined. Among the available variables, finally, using the factor analysis technique and Delphi method, the variables affecting credit risk were selected and entered into the data coverage analysis model, and the efficiency scores of law firms were obtained using them. The results of the comparison of two data coverage analysis models indicate that the validity of the financial model is 0.072 more than the combined model. In the financial approach, 7 companies were efficient and in the combined approach, 12 companies were recognized as efficient.

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