ﭘﺮوﻓﺎﯾﻞ ﺻﺤﺖ ﺗﺠﻤﻌﯽ در ارزﯾﺎﺑﯽ رﯾﺴﮏ اﻋﺘﺒﺎري ﺑﺎﻧﮏﻫﺎ: ﻣﺪلﻫﺎي ﻣﺒﺘﻨﯽ ﺑﺮ اﻃﻼﻋﺎت ﺣﺴﺎﺑﺪاري و ﻣﺪلﻫﺎي ﻣﺒﺘﻨﯽ ﺑﺮ اﻃﻼﻋﺎت ﺑﺎزار

Cumulative accuracy profile in banks' credit risk assessment: accounting based models and market based models

ﭘﮋوﻫﺶ ﺣﺎﺿﺮ ﺑﻪ ﻣﻘﺎﯾﺴﻪ ﻣﺪل ﺳﺎﺧﺘﺎري ﻣﺮﺗﻮن ﻣﺒﺘﻨﯽ ﺑﺮ اﻃﻼﻋﺎت ﺑﺎزار و ﻣﺪل ﺗﺤﻠﯿﻞ ﺗﺸﺨﯿﺼﯽ ﻣﺒﺘﻨﯽ ﺑﺮ اﻃﻼﻋﺎت ﺣﺴﺎﺑﺪاري در ﺑﺎﻧﮏﻫﺎ ﻃﯽ ﺳﺎلﻫﺎي 1386 اﻟﯽ 1398ﻣﯽﭘﺮدازد. ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺳﺎﺧﺘﺎر ﻣﺘﻔﺎوت ﺗﺮازﻧﺎﻣﻪ ﺑﺎﻧﮏﻫﺎ، ﺑﺮاي اوﻟﯿﻦ ﺑﺎر ﺑﺎ اﺳﺘﻔﺎده از روش ﺗﺨﻤﯿﻦ ﺣﺪاﮐﺜﺮ درﺳﺘﻨﻤﺎﯾﯽ اﻃﻼﻋﺎت اﻧﺘﻘﺎﻟﯽ و ﻟﺤﺎظ ﺳﺎﯾﺮ ﺑﺪﻫﯽﻫﺎ ﺑﺎ ﺿﺮﯾﺐ ﺗﻌﺪﯾﻞ، ارزش ﺑﺎزار و ﻧﻮﺳﺎن داراﯾﯽﻫﺎ ﺑﺎ اﺳﺘﻔﺎده از ﻗﯿﻤﺖ ﺳﻬﺎم ﺗﺨﻤﯿﻦ زده ﺷﺪه و ﺑﺎ ﻣﺪل ﺗﻌﺪﯾﻞ ﺷﺪه ﻣﺮﺗﻮن، ﻣﺘﻐﯿﺮ ﻓﺎﺻﻠﻪ ﺗﺎ ﻧﮑﻮل و اﺣﺘﻤﺎل ﻧﮑﻮل ﻣﺤﺎﺳﺒﻪ ﻣﯽﮔﺮدد. ﺳﭙﺲ ﺑﺎ ﻣﺪل ﺗﺤﻠﯿﻞ ﺗﺸﺨﯿﺼﯽ و ﺷﺎﺧﺺ ﻻﻣﺒﺪاي وﯾﻠﮑﺰ، ﻣﺪﻟﯽ ﻣﺒﺘﻨﯽ ﺑﺮ اﻃﻼﻋﺎت ﺣﺴﺎﺑﺪاري ﺑﻪ ﻣﻨﻈﻮر ﺳﻨﺠﺶ رﯾﺴﮏ اﻋﺘﺒﺎري ﺑﺎﻧﮏﻫﺎ ﻣﻌﺮﻓﯽ ﻣﯽﮔﺮدد. از ﻣﯿﺎن ﻣﺘﻐﯿﺮﻫﺎي ﻣﻮرد ﺑﺮرﺳﯽ، اﻋﺘﺒﺎرات ﻏﯿﺮﻓﻌﺎل ﺑﻪ ﮐﻞ اﻋﺘﺒﺎرات، اﻋﺘﺒﺎرات ﺑﻪ ﭼﻬﺎر ﺳﭙﺮده و ذﺧﯿﺮه اﺧﺘﺼﺎﺻﯽ ﺑﻪ اﻋﺘﺒﺎرات ﻏﯿﺮﻓﻌﺎل ﺑﻪ ﺗﺮﺗﯿﺐ داراي ﺑﯿﺸﺘﺮﯾﻦ ﺗﺎﺛﯿﺮ در ﺗﻌﯿﯿﻦ رﯾﺴﮏ اﻋﺘﺒﺎري ﺑﺎﻧﮏﻫﺎ ﻣﯽﺑﺎﺷﻨﺪ ﮐﻪ ﺑﺎ ﺿﺮاﯾﺐ اﺳﺘﺎﻧﺪاري، ﻧﻤﺮه z را ﺗﻌﯿﯿﻦ ﻣﯽﮐﻨﻨﺪ. ﻫﺮﭼﻪ ﻧﻤﺮه z ﮐﻤﺘﺮ ﺑﺎﺷﺪ رﯾﺴﮏ اﻋﺘﺒﺎري ﺑﯿﺸﺘﺮ اﺳﺖ و ﺑﺮﻋﮑﺲ. در ﻧﻬﺎﯾﺖ ﺑﺎ اﺳﺘﻔﺎده از ﭘﺮوﻓﺎﯾﻞ ﺻﺤﺖ ﺗﺠﻤﻌﯽ و ﻧﺴﺒﺖ ﺻﺤﺖ ﮐﻪ ﺷﯿﻮهاي ﻧﻮﯾﻦ در ﺗﻌﯿﯿﻦ ﻣﺪل ﮐﺎراﻣﺪ رﯾﺴﮏ اﻋﺘﺒﺎري اﺳﺖ، ﻣﺪل ﺳﺎﺧﺘﺎري ﻣﺮﺗﻮن ﺑﺎ ﻣﺪل ﺗﺤﻠﯿﻞ ﺗﺸﺨﯿﺼﯽ ﻣﻘﺎﯾﺴﻪ و در ﻧﻬﺎﯾﺖ ﻣﺪل ﺳﺎﺧﺘﺎري ﻣﺮﺗﻮن ﺑﺎ ﻧﺴﺒﺖ ﺻﺤﺖ ﻣﻌﺎدل 70,97 درﺻﺪ ﺑﻪ ﻋﻨﻮان ﻣﺪﻟﯽ ﮐﺎراﻣﺪ ﺟﻬﺖ ﺳﻨﺠﺶ رﯾﺴﮏ اﻋﺘﺒﺎري ﺑﺎﻧﮏﻫﺎ ﻣﻌﺮﻓﯽ ﻣﯽﮔﺮدد.

This study examine the Merton structural model based on market data and the discriminant analysis model based on accounting data in banks during 1386 to 1398. Due to the different structure of banks' balance sheets, for the first time, using the transformed data maximum likelihood estimation method and other liablilty with an adjustment and calculate the market value of assets and their volatility Using the stock price, we calculated the distance to default and the probability of default with the modified Merton model. Then, with the discriminant analysis model and Wilkes lambda index, we introduced a model based on accounting data to measure credit risk in banks. Among variables, inactive credits to total credits, total credits to main deposits and reserves to inactive credits have the most impact on determining the credit risk of banks, respectively, which is determined by z coefficients. The lower z score, the greater credit risk and vice versa. Finally, using the cumulative accuracy profile and accuracy ratio, which is a new method in determining an efficient model for credit risk, Merton's structural model is compared with z-score model, and finally Merton's structural model with an accuracy ratio of 70.97 as an efficient model for measuring credit risk in banks.