اثر تنوع‌بخشی در پرتفوی تسهیلات بر ریسک اعتباری بانک ها

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد، دانشکدة اقتصاد و علوم اجتماعی، دانشگاه بوعلی سینا، همدان، ایران

2 دانشجوی دکتری علوم اقتصادی دانشکدة اقتصاد، دانشگاه تهران، تهران، ایران

3 دانشجوی دکتری علوم اقتصادی، دانشکدة علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران

چکیده

مدیریت پرتفوی و اتخاذ ترکیب بهینة پرتفوی تسهیلات توسط بانک­ها به‌عنوان یکی از تأثیرگذارترین عوامل بر ریسک اعتباری بانک­ها شناخته شده است. دو راهبرد عمده در این زمینه عبارت‌اند از: تنوع­بخشی در مقابل تمرکزگرایی. در این مطالعه، ابتدا روند تنوع­بخشی در پرتفوی تسهیلات نظام بانکی کشور بررسی شده، سپس رابطة بین تنوع­بخشی در پرتفوی تسهیلات و ریسک اعتباری بانک­ها آزمون شده است. شایان ذکر است به‌منظور اندازه­گیری تنوع­بخشی در پرتفوی تسهیلات بانک­ها از دو دسته شاخص­های ساده و شاخص­های معیار (فاصله) بهره گرفته شد. شواهد تجربی این مطالعه در قالب مدل اقتصادسنجی داده­های تلفیقی برای نمونه­ای شامل شانزده بانک داخلی در دورة زمانی 1385- 1390 به‌دست آمده است. یافته­های مطالعة حاضر بیان می‌کند افزایش تنوع­بخشی در پرتفوی تسهیلات به افزایش ریسک اعتباری بانک­ها منجر می­شود و این رابطه مستقل از نوع مالکیت بانک (دولتی، غیردولتی) است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The effect of diversification of the credit portfolio on bank’s credit risk

نویسندگان [English]

  • Ezatollah Abbasian 1
  • Saman Fallahi 2
  • Samad Rahmani 3
1
2
3
چکیده [English]

The credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. Two main strategies in this regard include diversification versus concentration. In this study, at first, the status of diversification of Iran’s banking sector is analyzed, then the relationship between diversification of the credit portfolio and credit risk is considered. It should be noted that in order to measure credit portfolio diversification two set of naive indexes and benchmark (distance) indexes is used. The empirical evidences have obtained through a panel data analysis in a sample of 16 Iranian banks during 2006 to 2011 time period. The findings indicate that increase in credit portfolio diversification lead to increment in bank’s credit risk and this relationship is independent of the type of bank ownership.

کلیدواژه‌ها [English]

  • credit risk
  • non-performing loan
  • diversification
  • Panel data
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