Proceedings of 3rd Asia-Pacific Business Research Conference
25 - 26 February 2013, Kuala Lumpur, Malaysia, ISBN: 978-1-922069-19-1
A New Dynamic Geometric Approach for Empirical Analysis
of Credit Risk: Case of Pasargad Bank
A.R. Bahiraie1*, N. Pourfathy2 and N. Totoonchian3
:
This paper presents a complementary technique for the empirical analysis of
financial ratios and credit risk. Within the new framework, we propose the use of
a new measure of risk, the Dynamic Risk Space (DRS) measure. We provide
evidence of the extent to which changes in values for this index are associated
with changes in each axis's values and how this may alter our economic
interpretation of changes in patterns and directions. In addition, this model
tends to be generally useful for predicting financial distress and default. This
method would be a general methodological guideline associated with financial
data, solving some methodological problems concerning financial ratios such as
non-proportionality, non-asymmetry and non-scalability. To test the procedure,
Multiple Discriminant Analysis (MDA), Logistic Analysis (LA) and Genetic
Programming (GP) are employed to compare results. Classification methods
outperformed using the DRS approach with the dataset of Pasargad Bank
clients.
Keywords: Finance, Bankruptcy, logistic regression, genetic programming
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1,2,3 Banking and Economy Studies Deputye, Bank Pasargad, Tehran, Iran
1 Department of Mathematics, University of Semnan, Semnan, Iran
1 Institute of Mathematical Sciences, Faculty of Science, University of Malaya, Kuala Lumpur, Malaysia