نوع مقاله : مقاله پژوهشی - کاربردی

نویسندگان

1 گروه ریاضی، واحد اراک، دانشگاه آزاد اسلامی ، اراک، ایران.

2 گروه مهندسی صنایع، دانشگاه علم و صنعت، تهران، ایران.

3 گروه مهندسی صنایع، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.

10.22105/dmor.2021.250078.1225

چکیده

هدف: پیاده‌سازی نظام رتبه‌بندی اعتباری با در نظر گرفتن مطالبات معوق بانک‌ها، یکی از مهم‌ترین ابزارهای کنترل ریسک اعتباری در بانک‌ها و مؤسسات مالی به‌حساب می‌آید. در خصوص تسهیلات بانکی می‌توان گفت احتمال عدم بازپرداخت تسهیلات دریافتی یکی از موضوعات مهم می‌باشد. با شناسایی عوامل مختلفی که در عدم بازپرداخت تسهیلات بانکی تأثیرگذار است، می‌توان زمینه را جهت کاهش و کنترل ریسک اعتباری بانک‌ها فراهم کرده و در فرایند اعطای اعتبارات، بهبود حاصل کرد. هدف این مقاله بررسی ارتباط کارایی و ریسک در سیستم بانکداری است.
روش‌شناسی تحقیق: در این پژوهش یک نمونه 24 تایی از مهم‌ترین مشتریان حقوقی 11 شعبه بانک ملی شهر اراک موردمطالعه قرارگرفته است. 18 متغیر تأثیرگذار بر خطرپذیری اعتباری در این مقاله شناسایی شد که از بین متغیرهای موجود درنهایت با بهره بردن از تکنیک تجزیه‌وتحلیل عاملی و قضاوت خبرگان (روش دلفی)، 6 متغیر انتخاب شد که 3 تای آن‌ها ورودی‌ها و 3 تای آن‌ها خروجی‌ها را تشکیل دادند.
یافته‌ها: با کمک مدل‌های تحلیل پوششی داده‌ها کارایی و رتبه شرکت‌های حقوقی به دست آمد و سپس با استفاده از اطلاعات موسسه فیچ و کارایی مشتریان حقوقی رتبه اعتباری هر یک از شرکت‌های حقوقی معین و تحلیل کیفی آن‌ها بیان شد.
اصالت/ارزش افزوده علمی: بر این اساس به کمک روش تحلیل پوششی داده‌ها و اطلاعات ارائه‌شده توسط موسسه رتبه‌بندی فیچ، ریسک اعتباری مشتریان حقوقی بانک ملی شهر اراک مورد ارزیابی و رتبه‌بندی قرارگرفته است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

A New Hybrid Approach Based on Fitch Ranking and Data Envelopment Analysis to Evaluate the Credit Performance of the Bank's Legal Clients

نویسندگان [English]

  • Mohammad Izadikhah 1
  • Mohadeseh Shamsi 2
  • Abbas Sheikhsn 3
  • Fariba Ghafouri 3

1 Department of Mathematics, Arak Branch, Islamic Azad University, Arak, Iran.

2 Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran.

3 Department of Industrial Engineering, Arak Branch, Islamic Azad University, Arak, Iran.

چکیده [English]

Purpose: Implementing a credit rating system considering banks' deferred claims is one of the most important means of controlling credit risk in banks and financial institutions. In the case of banking facilities, the possibility of non-repayment of facilities is one of the most important issues. By identifying various factors that affect the non-repayment of bank facilities, it is possible to provide a framework for reducing and controlling the credit risk of banks and improving the crediting process. The purpose of this paper is to examine the relationship between efficiency and risk in the banking system.
Methodology: In this research, a sample of 24 companies from the most important legal customers of 11 branches of the Melli Bank of the city of Arak has been studied. 18 variables affecting credit risk were identified in this paper. Among the variables available, 6 variables were selected using the Factor Analysis Technique and Expert judgment (Delphi method), of which 3 were inputs and 3 were formed the outputs
Findings: The efficiency and rank of legal firms were obtained with the help of Data Envelopment Analysis models, and then using the Fitch Institute's data and the efficiency of legal clients, the credit rating of each of the legal firms and their qualitative analysis was expressed.
Originality/Value: Accordingly, using the method of data envelopment analysis and data provided by the Fitch Ratings Institute, the credit risk of Arak's Melli Bank's legal customers is assessed and ranked

کلیدواژه‌ها [English]

  • credit rating
  • Credit risk
  • Credit Rating Institutions
  • Data Envelopment Analysis
  • Efficiency
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