دانش حسابداری و حسابرسی مدیریت

دانش حسابداری و حسابرسی مدیریت

سنجش ریسک اعتباری و کفایت سرمایه با توجه به اندازه و ساختار مالکیت بانک‌های بورسی ایران بر اساس مدل گشتاورهای تعمیم یافته پانلی (GMM)

نوع مقاله : مقاله پژوهشی

نویسندگان
محمد روشن 1
بهروز خدارحمی 2
فاطمه صراف 3
1 گروه حسابداری، واحد بین المللی کیش، دانشگاه آزاد اسلامی، جزیره کیش، ایران
2 گروه پژوهشی مدیریت توسعه اقتصادی، مرکز مطالعات مدیریت و توسعه فن آوری، دانشگاه تربیت مدرس، تهران، ایران
3 دانشکده اقتصاد و حسابداری، دانشگاه آزاد اسلامی واحد تهران جنوب
چکیده
این مطالعه به سنجش ریسک اعتباری و کفایت سرمایه با توجه به اندازه و ساختار حکمرانی بانک‌های پذیرفته شده در بورس اوراق بهادار تهران می‌پردازد. داده‌های مورد استفاده در این تحقیق، شامل داده‌های مالی مندرج در صورت‌های مالی حسابرسی شده 22 بانک پذیرفته شده در سازمان بورس اوراق بهادار تهران می‌باشد که به صورت پانلی و در بازه زمانی سال‌های 1389 الی 1399 گردآوری شده‌اند.
برای بررسی میزان تاثیر تمرکز مالکیت و ساختار مالکیت بر رفتار ریسک‌پذیری اعتباری و کفایت سرمایه بانک‌ها، از متغیر سهامداران با سهام بیشتر از یک درصد به عنوان تمرکز مالکیت و متغیرهای سهامداران شرکتی، خانوادگی و مالکیت دولت به عنوان معیارهای ساختار مالکیت استفاده گردیده است. نتایج نشان می‌دهد افزایش تمرکز مالکیت منجر به کاهش ریسک اعتباری و کفایت سرمایه در بانک می شود. همچنین مالکیت دولتی، بر ریسک اعتباری تاثیر منفی و مالکیت خانوادگی و شرکتی، تأثیر مثبتی بر ریسک پذیری بانک‌ها دارد. همچنین هر سه متغیر ساختار مالکیت بر کفایت سرمایه بانک تاثیر منفی می‌گذارد. به عبارتی افزایش تمرکز در هر سه متغیر باعث کاهش کفایت سرمایه می‌شود. این یافته‌ها نشان می‌دهد که ساختار مالکیت مناسب می‌تواند فعالیت‌های ریسک‌پذیری بانک را مطابق با سطح ریسک هر بانک محدود کند.
کلیدواژه‌ها
تمرکز مالکیت
ساختار مالکیت
کفایت سرمایه
ریسک‌پذیری
مالکیت دولتی

عنوان مقاله English

Measuring credit risk and capital adequacy according to the size and ownership structure of Iran's listed banks based on the generalized panel moments model (GMM).

نویسندگان English

Mohammad Roshan 1
Behrooz Khodarahmi 2
Fatemeh Sarraf 3
1 Department of Accounting, Kish International Branch, Islamic Azad University, Kish Island, Iran
2 Department of Economic Development Management Research, Management and Technology Development Studies Center, Tarbiat Modares University, Tehran, Iran
3 Faculty of Economics and Accounting, Islamic Azad University, Tehran South Branch
چکیده English

This study measures the credit risk and capital adequacy according to the size and governance structure of the banks admitted to the Tehran Stock Exchange. The data used in this research includes the financial data included in the audited financial statements of 22 banks admitted to the Tehran Stock Exchange Organization, which were collected in a panel form and in the period of 2019-2019.
In order to investigate the impact of ownership concentration and ownership structure on the credit risk-taking behavior and capital adequacy of banks, the variables of shareholders with shares greater than one percent are used as ownership concentration and the variables of corporate, family and government ownership shareholders are used as ownership structure criteria. has been The results show that the increase in ownership concentration leads to a decrease in credit risk and capital adequacy in the bank. Also, government ownership has a negative effect on credit risk, and family and corporate ownership has a positive effect on banks' risk-taking. Also, all three ownership structure variables have a negative effect on bank capital adequacy. In other words, increasing the concentration in all three variables reduces capital adequacy. These findings show that the appropriate ownership structure can limit the bank's risk-taking activities according to the risk level of each bank.
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کلیدواژه‌ها English

Ownership concentration
ownership structure
capital adequacy
risk-taking
government ownership
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