Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Credit Risk and Credit Derivatives in Banking

Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the usual separation result is con...

Corporate Governance and Credit Risk in Iranian Banking Industry

The main purpose of this research is to investigate the impacts of corporate governance on credit risk in the Iranian banking industry. The sample consists of 20 banks listed on the Tehran Stock Exchange during 2011-2016 and the statistical method is panel data. In this research, credit risk and corporate governance are the dependent and independent variables, respectively. The meta-synthesis m...

Effects Of Risk Parameters (Credit, Operational, Liquidity And Market Risk) On Banking System Efficiency (Studying 15 Top Banks In Iran)

A Survey and Measuring Efficiency Level in the Country\'s Banking System, and the Effective Factors

Human being always wants to be more efficient in order to achieve more profit or welfare. In economic point of view, efficiency means optimize allocation of resources and maximize use of resources with minimum cost in a given technology. Nowadays, efficiency calculation in organizations or in different industries is a necessary step for comparing the level of competition in domestic and foreig...

The Resilience of the Iranian Banking System to Macro Shocks with an Emphasis on Credit Risk

In this paper, we present the macro stress test with a credit risk approach for banking system of Iran during the period 2004Q1-2019Q4. The goal is to evaluate the vulnerability of the banking system through credit risk to the country economic shocks. In this regard, the developed method of Wilson (1997) Credit Portfolio View model including macroeconomic variables and default rate has been use...