Investigating the Risk of Paying Loans to Public and Private Companies Using the Logit Model and Comparing it with Altman Z (Case Study: A Private Bank in Iran)
Journal Title: International Journal of Finance and Managerial Accounting - Year 2018, Vol 3, Issue 11
Abstract
The design of a credit risk measurement model in the monetary and banking system will play an important role in increasing the profitability of banking resources. This article attempts to use two models of Logit and Z Altman to determine and predict the credit risk of facilities provided to legal entities at a private bank in Iran. The variables studied in this research include qualitative variables (company life, financial credit document, experience of managers, type of company) and financial variables (working capital in total assets, book value of equity to book value of debt, total sales to total assets, accumulated profits to total assets, profit before interest and taxes on total assets). The results of this research show that the use of validation models, despite all the technical and statistical considerations, can accurately determine the credit status and credit risk of customers. Both models used more than 80% of the correct predictions, which are a significant figure in the real business environment. But in the Logit model with a slightly better difference than the Z-Altman model, about 83% of its predictions were correct.
Authors and Affiliations
Shadanloo Ameri Siahoee, Hamid Reza Kordlouie
Using Accounting Information in Decision Making of Hospitals Managers
Decision making process requires information. Accounting is the most important source of information. In 1998, the international federation of accountants issued a statement about the scope and using of accounting. It id...
Explaining the Role of Management Accounting Information System in Strategy Formulation with Actors Network Approach
The real challenge of business environment is derived from a situation where organizations need to find opportunities on how to introduce ideas and new products to market that provide future earnings stream. Management a...
The Value Relevance of Net Financial Expenses during the Period of Imposing Sanctions: The Case of Iran
Based on valuation model of residual earnings, we cannot use earnings and losses of balance sheet items recorded in fair value for valuation purposes, for the balance sheet provides a perfect estimate of such items’ valu...
Using the Imperialistic Competitive Algorithm Model in Bankruptcy Prediction and Comparison with Genetic Algorithm Model in Listed Companies of Tehran Stock Exchange
Bankruptcy prediction is a major issue in classification of companies. Since bankruptcy is extremely costly, investors, owners, managers, creditors, and government agencies are interested in evaluating the financial stat...
Comparison of Performance of Traditional Value at Risk Models with Switching Model in Tehran Stock Exchange
The problem of portfolio optimization has made many advances since Markowitz proposed an average-variance-based optimization. It can be said that the most important achievement of the Markowitz model was the introduction...