Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks
This study examines the relationship between CAMELS index and default probability among 20 Iranian banks. The proposed study gathers the necessary information from their financial statements over the period 2005-2011. The study uses logistic regression along with Pearson correlation analysis to cons...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2013-04-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol3/msl_2013_80.pdf |
| _version_ | 1818239200495927296 |
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| author | Mohammad Khodaei Valahzaghard Maryam Bahrami |
| author_facet | Mohammad Khodaei Valahzaghard Maryam Bahrami |
| author_sort | Mohammad Khodaei Valahzaghard |
| collection | DOAJ |
| description | This study examines the relationship between CAMELS index and default probability among 20 Iranian banks. The proposed study gathers the necessary information from their financial statements over the period 2005-2011. The study uses logistic regression along with Pearson correlation analysis to consider the relationship between default probability and six independent variables including capital adequacy, asset quality, management quality, earning quality, liquidity quality and sensitivity of market risk. The results indicate that there were no meaningful relationship between default probability and three independent variables including capital adequacy, asset quality and sensitivity of market risk. However, the results of our statistical tests support such relationship between default probability and three other variables including management quality, earning quality and liquidity quality. |
| first_indexed | 2024-12-12T12:53:46Z |
| format | Article |
| id | doaj.art-183fd601814644cbb09efc3e8d71f937 |
| institution | Directory Open Access Journal |
| issn | 1923-9335 1923-9343 |
| language | English |
| last_indexed | 2024-12-12T12:53:46Z |
| publishDate | 2013-04-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-183fd601814644cbb09efc3e8d71f9372022-12-22T00:23:56ZengGrowing ScienceManagement Science Letters1923-93351923-93432013-04-013411131118Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banksMohammad Khodaei ValahzaghardMaryam BahramiThis study examines the relationship between CAMELS index and default probability among 20 Iranian banks. The proposed study gathers the necessary information from their financial statements over the period 2005-2011. The study uses logistic regression along with Pearson correlation analysis to consider the relationship between default probability and six independent variables including capital adequacy, asset quality, management quality, earning quality, liquidity quality and sensitivity of market risk. The results indicate that there were no meaningful relationship between default probability and three independent variables including capital adequacy, asset quality and sensitivity of market risk. However, the results of our statistical tests support such relationship between default probability and three other variables including management quality, earning quality and liquidity quality.http://www.growingscience.com/msl/Vol3/msl_2013_80.pdfCAMELSDefault ProbabilityCapital AdequacyEarning Quality |
| spellingShingle | Mohammad Khodaei Valahzaghard Maryam Bahrami Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks Management Science Letters CAMELS Default Probability Capital Adequacy Earning Quality |
| title | Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks |
| title_full | Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks |
| title_fullStr | Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks |
| title_full_unstemmed | Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks |
| title_short | Prediction of default probability in banking industry using CAMELS index: A case study of Iranian banks |
| title_sort | prediction of default probability in banking industry using camels index a case study of iranian banks |
| topic | CAMELS Default Probability Capital Adequacy Earning Quality |
| url | http://www.growingscience.com/msl/Vol3/msl_2013_80.pdf |
| work_keys_str_mv | AT mohammadkhodaeivalahzaghard predictionofdefaultprobabilityinbankingindustryusingcamelsindexacasestudyofiranianbanks AT maryambahrami predictionofdefaultprobabilityinbankingindustryusingcamelsindexacasestudyofiranianbanks |