Investigating the Risk of Paying Loans to Public and Private Companies Using the Logit Model and Comparing it with Altman Z (Case Study: A Private Bank in Iran)
Publish Year: 1397
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFMA-3-11_004
تاریخ نمایه سازی: 13 آذر 1400
Abstract:
The design of a credit risk measurement model in the monetary and banking system will play an important role in increasing the profitability of banking resources. This article attempts to use two models of Logit and Z Altman to determine and predict the credit risk of facilities provided to legal entities at a private bank in Iran. The variables studied in this research include qualitative variables (company life, financial credit document, experience of managers, type of company) and financial variables (working capital in total assets, book value of equity to book value of debt, total sales to total assets, accumulated profits to total assets, profit before interest and taxes on total assets). The results of this research show that the use of validation models, despite all the technical and statistical considerations, can accurately determine the credit status and credit risk of customers. Both models used more than ۸۰% of the correct predictions, which are a significant figure in the real business environment. But in the Logit model with a slightly better difference than the Z-Altman model, about ۸۳% of its predictions were correct.
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Authors
Shadanloo Ameri Siahoee
PhD Candidate in Finance, Kish International Branch, Islamic Azad University, Kish Island, Iran.
Hamid Reza Kordlouie
Associate Professor, Member of the Accounting Department and member of the Young Researchers Club, Islamic Azad University of Islamshahr Branch Tehran, Iran (Corresponding Author)
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