The Social Sciences

Year: 2016
Volume: 11
Issue: 16
Page No. 3908 - 3913

Measurement of Credit Risk Portfolio of Bank by Method of Coefficient Variation Bound

Authors : Amjad Zarei

Abstract: Owing to scientific progress, Today’s world is moving ahead a process which creates better living conditions. On the other hand, during the past decades, the prevailing trend in economic and investment field has been determined in a way that hinders individuals’ move to welfare. The example of this situation is granting bank loans to clients that this work has always been a problem for financial managers since there is competition and worry over capital return. Furthermore, risk and credit risk is of paramount importance in financial system because of risk determination and control protects banks against bankruptcy.Therefore, one way to reduce credit risk is to grant loans to clients based on Markowitz Portfolio Theory which is an appropriate option. For reach this goal in this research different approaches including discriminant analysis, logistic regression, grading models based on logistic regression and Delphi approaches to credit measurement have been applied.In order to do this, the model is developed through presenting a characteristic combination of coefficient of variance, principles, theorems and definitions are presented. In this study prior to granting loans their credit risk was analyzed and determined within a short time frame. The results indicated that used models are efficient for detecting outliers. Due to the efficiency of used models, these are possible to define a new credit risk measurement system in banks in order to act as quality control factor.

How to cite this article:

Amjad Zarei , 2016. Measurement of Credit Risk Portfolio of Bank by Method of Coefficient Variation Bound. The Social Sciences, 11: 3908-3913.

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