Comparison of factors affecting the credit risk of different groups in the banking system of Iran

Abstract

The significant share of loans in the asset portfolio of banks has turned credit risk into one of the most important risks in the banking industry. Considering the difference in the structure, profit motive and risk management in different banks, the purpose of this research is to compare the factors affecting Non-Performing Loans (NPLs) as an indicator of credit risk in different banking groups. For this purpose, the relationship between Non-Performing Loans and explanatory variables (macroeconomic factors and bank-specific factors) was estimated for different banking groups by using the generalized method of moments (GMM) of dynamic panel data for the annual data of 1385-1400. Based on the results, bank-specific factors have a more effective role in increasing the non-performing loans of banks (especially state-owned banks) than macroeconomic factors, which is due to mechanisms that lack efficiency and effectiveness in the processes of granting credit and collecting bank claims; In addition, the influence of these factors is different in different banking groups.

Keywords

• credit risk
• probability of default
• non performing loans (npls)
• banking groups