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
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