Predicting Banks' Financial Distress by Data Envelopment Analysis Model and CAMELS Indicators

Journal of System Management

دوره 7، شماره 3، آذر 2021، صفحه 213-240   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.30495/jsm.2021.1935059.1499

نویسندگان

Abass Paidar¹؛ Morteza Shafiee^{* 2}؛ Fariborz Avazzadeh³؛ Hashem Valipour⁴

¹Department of Accounting and Management, Yasuj Branch, Islamic Azad University, Yasuj, Iran

²Department of Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran

³Department of Accounting, Gachsaran Branch, Islamic Azad University, Gachsaran, Iran

⁴Department of Accounting, Firuzabad Branch, Islamic Azad,University, Firuzabad, Iran

چکیده

Due to their inherent nature in the economy, banks have a fundamental and significant responsibility for capital formation. Therefore, evaluating their performance can help decision makers find the optimal solution and prevent financial distress. The purpose of this study is to evaluate the performance and forecast financial distress of banks listed on the Tehran Stock Exchange, based on CAMELS indicators and ِData Envelopment Analysis model.  First, using the data of 17 banks in the fiscal year 2018, 5 levels of determining the health of banks, in the form of differences between the performance of these banks in terms of capital adequacy, quality of assets, quality of management, Earning and liquidity and  sensitivity to market risk, It was found. And the studied banks were divided into two groups: healthy and helpless, based on CAMELS indices. Then, according to the effects of financial distress on banks, financial distress was predicted by Data Envelopment Analysis model slacks-based on measure of efficiency (SBM) and with a different approach. The results show that 61% of the predictions were correct by DEA technique and 39% of them were incorrect. Also, the results of this study showed that CAMELS financial ratios can be a good assessor for banks' financial distress.

کلیدواژه‌ها

Financial Distress Prediction؛ Data Envelopment Analysis؛ Banking Health and Stability؛ CAMELS Indices؛ Banking Supervision

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