بررسی تأثیر فعالیت‌های خارج از ترازنامه بر ریسک بانک‌های پذیرفته ‌شده در بورس اوراق بهادار تهران

نوع مقاله: کاربردی

نویسندگان

1 استادیار گروه مالی و حسابداری، دانشگاه تهران، پردیس فارابی، قم، ایران

2 کارشناسی ارشد مدیریت مالی، دانشگاه تهران، پردیس فارابی، قم، ایران

چکیده

در این پژوهش، تأثیر فعالیت‌های خارج از ترازنامه بر ریسک در سه سطح ریسک کل، ریسک ورشکستگی و ریسک اعتباری در 8 بانک منتخب دولتی و خصوصی بورس اوراق بهادار، بر اساس اطلاعات صورت‌های مالی سالانة این بانک‌ها در دورة 1384- 1394 با روش رگرسیونی پنل دیتا بررسی ‌شده است. نتایج به‌دست ‌آمده، نشان‌دهندة تأثیر منفی و معنادار فعالیت‌های خارج از ترازنامه بر ریسک کل در کل بانک‌ها و بانک‌های دولتی و عدم معناداری آن در بانک‌های خصوصی است. همچنین فعالیت‌های خارج از ترازنامه منجر به کاهش ریسک اعتباری و ورشکستگی در بانک‌های دولتی می‌شود اما تأثیر این فعالیت‌ها بر ریسک اعتباری و ورشکستگی کل بانک‌ها و بانک‌های خصوصی معنادار نیست.
JEL: G2, G21
نحوه استناد به این مقاله : ندیری، م.، بهزادی، م.، و نوراحمدی، م. (1396). بررسی تأثیر فعالیت‌های خارج از ترازنامه بر ریسک بانک‌های پذیرفته‌شده در بورس اوراق بهادار تهران. فصلنامة مدلسازی ریسک و مهندسی مالی، 2(2)، 158- 178.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE

نویسندگان [English]

  • mohammad nadiri 1
  • maryam behzadi 2
  • marziyeh nourahmadi 2
1 Associate Prof., Faculty of Management and Accounting Sciences, University of Tehran, College of Farabi,Qom, Iran
2 MSc. in Finance Management, Faculty of Management and Accounting Sciences, University of Tehran, College of Farabi,Qom, Iran
چکیده [English]

In this study, we analyzed and investigated off-balance sheet (OBS) activities based on the annual financial statements of banks during 2005-2015 with using data panel regression method, in three levels of total risk, bankruptcy risk and credit risk, in the 8 State owned banks and private owned banks separately. The results show that, the impact of the OBS activities on the overall risk in all banks and state banks is negative and segnificant although is not segnificant in private banks. OBS activities decreas credit risk and bankruptcy in State owned banks, but their impact on credit risk and bankruptcy of all banks and private owned banks is not significant, although its sign is positive.
JEL: G2, G21
How to cite this paper: Nadiri, M., & Behzadi, M., & Nourahmadi, M. (2017). The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE. Quarterly Journal of Risk Modeling and Financial Engineering, 2(2), 158– 178. (In Persian)

کلیدواژه‌ها [English]

  • Credit risk
  • Total Risk
  • Bankruptcy Risk
  • Off-balance Sheet Activities

کریمى، م.، و شجاع، م. (1384). بررسى تحولات فعالیت‌های خارج از ترازنامه در بانکدارى بین‌المللی. مجموعة مقالات شانزدهمین همایش بانکدارى اسلامی، انتشارات موسسة عالى بانکدارى ایران، 375-409.

مدرس، ا.، و طالع‌فرد، ع. (1389). اثر فعالیت‌های خارج از ترازنامه بر ریسک و بازدهی بانک‌ها. دانش حسابرسی، 10(39). 39-57. 

Aktan, B., Chan, S. G., ZikoviC, S., & Evrim-Mandaci, P. (2013). Off-balance Sheet Activities Impact on Commercial Banks Performance: An Emerging Market Perspective. Economic Research-Ekonomska Istrazivanja, 26(3), 117-132.

Bennett, B. (1986). Off Balance Sheet Risk in Banking: The Case of Standby Letters of Credit. Economic Review, (Win), 19-29.

Boot, A., & Thakor, A. (1991). Off-balance Sheet Liabilities, Deposit Insurance and Capital Regulation. Journal of Banking and Finance, 15(4-5), 825–846.

Boyd, A. W. A., & Graham, S. L. (1986). Risk, Regulation and Bank Holding Company Expansion into Nonbanking. Federal Reserve Bank of Minneapolis Quarterly Review, 10(2), 2-17.

Brewer, E., William, E., & James, T. (1996). Alligators in the Swamp: The Impact of Derivatives on the Financial Performance of Depository Institutions. Journal of Money, Credit and Banking, 28(3), 482–498.

Brooks, C. (2014). Introductory Econometrics for Finance. 3rd Edition. Cambridge University Press.

Calmes, C., & Liu, y. (2009). Financial Structure Change and Banking Income: A Canada–U.S. Comparison. Journal of International Financial Markets, Institutions and Money, 19(1), 128–139.

Calmes, C., & Theoret, R. (2010). The Impact of Off-balance-sheet Activities on Banksreturns: An Application of the ARCH-M to Canadian Data. Journal of Banking and Finance, 34(7), 1719–1728.

Chaudhry, M. K. (1994). Commercial Bank’s Off-Balance Sheet Activities and Their Relationship with Market-based Risk Measures. 4th AFIR International Colloquium, Orlando, 1241-1274.

Duran, M. A., & Lizano-Vivas, A. (2013). Off-balance-sheet Activity under Adverse Selection: The European experience. Journal of Economic Behavior and Organization, 85(1), 176–190.

Esty, B. (1998). The Impact of Contingent Liability on Commercial Bank Risk Taking. Journal of Financial Economics, 47(2), 189–218.

Fraser, D., Madura, J., & Weigand, R. (2002). Sources of Bank Interest Rate Risk. The Financial Review, 37(3), 351–367.

Gallo, J. G., Apilado, V. P., & Kolari, J. W. (1996). Commercial Bank Mutual Fund Activities: Implications for Bank Risk and Profitability. Journal of Banking and Finance, 20(10), 1775–1791.

Haq, M., & Heaney, R. (2012). Factors Determining European Bank Risk. Journal of International Financial Markets, Institutions and Money, 22(4), 965 – 718.

Hassan, K., Karels, G., & Peterson, M. (1994). Deposit Insurance, Market Discipline and Off-balance Sheet Banking Risk of Large U.S. Commercial Banks, Journal of Banking and Finance, 18(3), 575–593.

Hassan, M. K. (1993). The Off-Balance Sheet Banking Risk of Large US Commercial Banks. The Quarterly Review of Economics and Finance, 33(1), 51-59.

Hassan, M. K., Karels, G. V., & Peterson, M. O. (1993). Off-balance Sheet Activities and Bank Default-risk Premia: A Comparison of Risk Measures. Journal of Economics and Finance, 17(3), 69-83.

Karim, D., Liadze, I., Barrell, R., & Davis, E. P. (2013). Off-balance Sheet Exposures and Banking Crises in OECD Countries. Journal of Financial Stability, 9(4), 673-681.

Karim, M., Abd, Z., & Gee, C. S. (2007). Off-Balance Sheet Activities and Performance of Commercial Banks in Malaysia. ICFAI Journal of Financial Economics, 5(4), 67-80.

Karimi, M., & Shoja, M. (2005). Review of Evolutions in Off-balance Sheet Activities in International Banking, Handbook of Papers Written for the Sixteenth Islamic Banking Conference. Tehran: Iran, Publications of Iran Banking Institute, 375-409. (In Persian).

Khambata, D. (1989). Off-balance-Sheet Activities of US Banks: An Empirical Evaluation. Columbia Journal of World Business, 24)2(, 3–11.

Khasawneh, A., & Al-Hadassah, H. (2014). Risk and profitability in Middle East and North Africa Banking System: An Examination of off Balance Sheet Activities. The International Journal of Business and Finance Research, 8(3), 13-26.

Lepetit, L., Nys, E., Rous, P., & Tarazi, A. (2008). Bank Income Structure and Risk: An Empirical Analysis of European Banks. Journal of Banking & Finance, 32(8), 1452-1467.

Lewis, M. K. (1988). Off-balance Sheet Activities and Financial Innovation in Banking. PSL Quarterly Review, 41(167), 387-410.

Lin, Z. K. L. (2011). The Impact of Income Structure Change on the Risks of Chinese Commercial Banks [J]. Studies of International Finance, 5, 009.

Lynge, M., & Lee, C. (1987). Total Risk, Systematic Risk, and Off-balance Sheet Risk for Large Commercial Banks, Unpublished Working Paper, IL Faculty Working, University of Illinois at Urbana-Champaign, September, 1389.

Mishkin, F. S., & Eakins, S. G. (2015). Financial Markets and Institutions, Pearson, 8th Edition.

Modarres, A., & Tale Fard, A. (2010). The Effect of Off-balance Sheet Activities on the Risk and Returns of Commercial Banks. Journal of Accounting Knowledge, 10(39), 40-57. (In Persian).

Rose, P. S. (1989). Diversification of the banking firm. Financial Review, 24(2), 251-280.

Saunders, A., & Walter, I., (1994). Universal Banking in the United States: What Could We Gain? What Could We Lose? Oxford University Press, New York.

Stiroh, K. J., & Rumble, A. (2006). The Dark Side of Diversification: The Case of US Financial Holding Companies. Journal of banking & finance, 30(8), 2131-2161.

Wagster, J. (1996). Impact of 1988 Basel Accord on International Banks. Journal of Finance, 51(4), 1321–1346.

Ye, K. (2015). Off-Balance Sheet Activities and Bank Risks: an Investigation of the Listed Commercial Banks in China (1999–2013). Annals of Financial Economics, 10(01), 1550004.