مديريت ريسك اعتباري در صنعت بانكداري

Credit Risk Management in the Banking Industry

ﻫﺪف ﻣﺤﻮري اﯾﻦ ﻣﻘﺎﻟﻪ ﺑﺮرﺳﯽ ارﺗﺒﺎط ﮐﺎراﯾﯽ و رﯾﺴﮏ در ﺻﻨﻌﺖ ﺑﺎﻧﮑﺪاري اﯾﺮان اﺳﺖ. در اﯾﻦ ﭘﮋوﻫﺶ ﺑﻪ ﻣﻨﻈﻮر ارزﯾﺎﺑﯽ ﮐﺎراﯾﯽ و رﺗﺒﻪ ﺑﻨﺪي ﺑﺎﻧﮑ ﻬﺎ، اﻧﺘﺨﺎب ﻣﺪل ﺑﻬﯿﻨﻪ و ﺳﭙﺲ ﺷﻨﺎﺳﺎﯾﯽ ﺗﺎﺛﯿﺮ رﯾﺴﮑ ﻬﺎي اﻋﺘﺒﺎري، ﻋﻤﻠﯿﺎﺗﯽ و ﻧﻘﺪﯾﻨﮕﯽ ﺑﺮ ﮐﺎراﯾﯽ ﻧﻈﺎم ﺑﺎﻧﮑﯽ، از دو روﯾﮑﺮد ﭘﺎراﻣﺘﺮﯾﮑﯽ ﺑﺎ ﻣﺒﻨﺎي اﻗﺘﺼﺎدي و ﻧﺎﭘﺎراﻣﺘﺮﯾﮑﯽ ﺑﺮ ﻣﺒﻨﺎي ﺑﻬﯿﻨﻪ ﺳﺎزي رﯾﺎﺿﯽ اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ. در اﯾﻦ راﺳﺘﺎ 15 ﺑﺎﻧﮏ ﺑﻪ ﻋﻨﻮان ﺟﺎﻣﻌﻪ آﻣﺎري ﭘﮋوﻫﺶ ﻃﯽ ﺳﺎل ﻫﺎي1391 – 1395 ﻣﻮرد ﻣﻄﺎﻟﻌﻪ ﻗﺮار ﮔﺮﻓﺘﻪ اﺳﺖ. ﻫﻤﭽﻨﯿﻦ ﯾﺎﻓﺘﻪ ﻫﺎي ﻣﻘﺎﻟﻪ ﺑﯿﺎﻧﮕﺮ آن اﺳﺖ ﮐﻪ ارﺗﺒﺎﻃﯽ ﻣﻌﻨﺎدار ﻣﯿﺎن رﯾﺴﮏ اﻋﺘﺒﺎري، ﻋﻤﻠﯿﺎﺗﯽ، ﻧﻘﺪﯾﻨﮕﯽ و ﮐﺎراﯾﯽ در ﻧﻈﺎم ﺑﺎﻧﮑﯽ اﯾﺮان وﺟﻮد دارد.

The central purpose of this paper is to examine the relationship between performance and risk in the banking industry of Iran. This study was conducted to evaluate the performance and rating of the banks, the optimum model and then identify the impact of credit risks, operational efficiency and liquidity of the banking system, both economic and non-parametric-based parametric approach based on mathematical optimization. In this 15 banks regard as the study population during 2012-2016 is studied. The findings also suggest that the correlation between credit risk, operational, liquidity and efficiency in banking system of Iran.