Amir Hossein Erza; Moslem Peymany; Farnaz Seifi
Abstract
Credit risk is one of the most important risks that affect Monetary and financial institutions. The main purpose of the paper is to assess the effect of credit risk on stock returns. Firstly, by reviewing the theoretical foundations, researches and expert opinion, quantitative and qualitative factors ...
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Credit risk is one of the most important risks that affect Monetary and financial institutions. The main purpose of the paper is to assess the effect of credit risk on stock returns. Firstly, by reviewing the theoretical foundations, researches and expert opinion, quantitative and qualitative factors influencing the credit rating were determined. Then a questionnaire prepared according to the experts' opinions based on the Iranian environment, the degree importance of the indicators was determined and Using the Topsis model, the ranking of 106 Tehran Stock Exchange (TSE) companies in 2011-2015 was based on credit risk with the same and different significance of the indicators Then, based on the results of the ranking, stock portfolios was formed, finally, the effect of credit risk on stock returns in two different situations With the same and different significance were determined. According to the results, the effect of credit risk on returns in both of the same and different degree of importance, by analyzing the combined data, meaningless and by analyzing panel data, is meaningful and reverse.
Seyed Majid Shariatpanahi
Volume 6, Issue 21 , April 2008, , Pages 61-82
Abstract
Resources allocation is considered to be one of the main activities for banks. The most important risk that threatens this activity is commitments refusal on the part of facilities receiver. One of the ways that can be used to benefit properly from investment opportunities and help to stop wasting ...
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Resources allocation is considered to be one of the main activities for banks. The most important risk that threatens this activity is commitments refusal on the part of facilities receiver. One of the ways that can be used to benefit properly from investment opportunities and help to stop wasting resources is bankruptcy prediction and default probability.
In this research, we have established Multiple Discriminant Analysis (MDA) model to predict the default of the companies which receive facilities and credit. The result of this research, which are based on the information provided by the companies receiving facilities and credit from Industry and Mine Bank, have indicated that, five ratios of the seventeen selected ratios have the most power in distinguishing the group of companies with default and without default. Another result is that there is a trade-off between ROA and default probability and the last conclusion is that the companies with a higher net profit are more successful in repaying their credits and facilities.
