Effect of asset-liability management on credit risk
Subject Areas : Journal of Investment Knowledge
hadi farnian
1
(PhD.Student,Department of Management,UAE Branch,Islamic Azad University, Dubai,United Arab Emirates,)
Fraydoon Rahnamay Roodposhti
2
(Professor,Department of Finance and Accounting,Tehran Science and Research Branch, Islamic Azad University,Tehran,Iran)
taghi torabi
3
(Associate Professor, Department of Economics,Tehran Science and Research Branch, Islamic Azad University,Tehran,Iran,.)
Keywords: asset-liability management, credit risk, Value at risk,
Abstract :
Banks as the biggest and most important active institutions in money market as well as having financial intermediary role including resource saving and financing play a significant role in the economy. Banks face with different challenges to play their role in the society. One of these challenges is the optimal asset-liability management along with evaluating the related risks including credit risk which derives from lending facilities. The present study aimed to implement asset-liability management model for managing the credit risk of the banks. The ratio of lending facilities to asset and the ratio of delayed debts to facilities and capital adequacy were the variables of the study to assess the credit risk. In addition, the value at risk was calculated. In this study, data were collected from all 14 banks listed on the Tehran Stock Exchange from 2009 to 2016. The results indicated that it is essential to implement asset-liability management model for effective management and reducing the credit risk for the banks.
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