نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشجوی دکتری مدیریت مالی دانشگاه تهران

2 استاد اقتصاد پژوهشگاه فرهنگ و اندیشه اسلامی

3 استادیار دانشگاه تهران

چکیده

ریسک اعتباری ازجمله مهم­ترین ریسک­هایی است که نظام بانکی با آن روبروست. هدف این مقاله بررسی و مقایسه عوامل مؤثر بر ریسک اعتباری در بانکداری اسلامی و بانکداری متعارف است. این مقاله تأثیر کیفیت مدیریت، کفایت سرمایه، نقدینگی و اندازه را به‌عنوان عوامل خاص بانکی، بر ریسک اعتباری در بانکداری اسلامی و متعارف را با استفاده از روش پنل دیتای پویا و در دوره زمانی 2016-2011 در 115 بانک اسلامی و متعارف بررسی نموده است. نتایج تحقیق نشان می‌دهد که در بانکداری اسلامی بین ریسک اعتباری و شاخص‌های، اندازه، کیفیت مدیریت و کفایت سرمایه ارتباط منفی معناداری وجود دارد. همچنین بین نسبت نقدینگی و ریسک اعتباری ارتباط معناداری وجود ندارد. در بانکداری متعارف ارتباط منفی معناداری بین نقدینگی، کیفیت مدیریت و کفایت سرمایه با ریسک اعتباری به دست آمد، نتایج نشان‌دهنده عدم ارتباط معنادار بین اندازه بانک و ریسک اعتباری است.

کلیدواژه‌ها

  1. بائی، محیا؛ محمدعلی دهقان دهنوی و اویس محرم اوغلی (1397)، «عوامل تعیین‌کنندۀ ریسک‌پذیری بانک‌ها در ایران با تأکید بر ساختار مالکیت»، تحقیقات مالی، دوره 19، ش1، ص80−61.
  2. شعبانی، احمد و علی عادل‌رستخیز (1391)، «تحلیل تطبیقی ریسک در بانکداری متعارف و بانکداری بدون ربا در قالب عقود اسلامی»، تحقیقات مالی اسلامی، دوره 2. ش1، شماره پیاپی 3، ص7−38.
  3. صادقی شاهدانی، مهدی و محمدابراهیم آقابابایی (1390)، «تحلیل مقایسه‌ای ریسک اعتباری در بانکداری اسلامی و بانکداری متداول»، دوفصلنامه تحقیقات مالی اسلامی، سال اول، ش1، ص89−106.
  4. کمیجانی، اکبر و سامان فلاحی (1395)، «شناسایی عوامل درونی تأثیرگذار بر ریسک اعتباری بانک‌ها»، تحقیقات اقتصادی، دوره 51، ش3، ص652−635.
  5. متین، پدرام (1392)، «بررسی مدیریت ریسک در بانکداری اسلامی و بانکداری متعارف»، نخستین کنفرانس ملی توسعه مدیریت پولی و بانکی، ص1−15.
  6. موسویان، سیدعباس و مجتبی کاوند (1389)، «مدیریت نقدینگی در بانکداری اسلامی»، معرفت اقتصادی، سال دوم، ش1، پیاپی سوم، ص35−63.
  7. نوروزی، پیام. (1393)، «تأثیر متغیرهای کلان اقتصادی بر ریسک اعتباری بانک‌ها در ایرانم، فصلنامه پژوهش‌های پولیبانکی، سال هفتم. ش20، ص237−257.
    1. Abedifar, P; Molyneux, P; Tarazi, A. (2013), “Risk in Islamic banking”, European Financial Review, Vol. 17, Issue 6, pp.2035–2096.
    2. Abid, Lobna; Ouertani Med Nejib; Zouari-Ghorbel Sonia. (2014), “Macroeconomic and Bank-Specific Determinants of Household’s Non-Performing Loans in Tunisia: a Dynamic Panel Data”, Procedia Economics and Finance; vol 13, pp 58-68.
    3. Aemiro, Tehulu Tilahun; Rafisa, Olana Dugasa, (2014), “Bank- Specific Determinants of Credit Risk: Empirical Evidence from Ethiopian Banks”, Finance and Accounting, Vol. 5, No. 7, pp.80-85.
    4. Ahmed, Khan, T. (2007), “risk management in Islamic banking”, Handbook of Islamic Banking, pp.144-158.
    5. Al-Wesabi, Hamid A.H; NorHayati, Ahmad. (2013), “Credit risk of Islamic banks in GCC countries”, International Journal of Banking and Finance, Vol. 10, No. 2, pp.95-113.
    6. Amit, Ghosh. (2017), “Sector-specific analysis of non-performing loans in the US banking system and their macroeconomic impact”, Journal of Economics and Business, 93. (C), pp. 29-45.
    7. Baele, L. Farooq, M. Ongena, S. (2014), “Of religion and redemption: evidence from default on Islamic loans”, Journal of Banking and Finance, Vol. 44, pp.141–159.
    8. Baltagi, B. H, (2008), Econometric Analysis of panel data, Chichester: John Wiely&Sons Ltd. Pp. 1-388.
    9. Basel Committee on Banking Supervision: Principles for Management of Credit Risk. (2001). Risk Management Group of the Basel Committee on Banking Supervision. Federal Reserve Board, Washington, D.C. pp. 1-30.
    10. Beck, Demirgüç-Kunt, Merrouche, A. O. (2013), “Islamic vs. conventional banking: business model, efficiency and stability”, Journal of Banking and Finance, Vol. 37, pp.433–447.
    11. Berger, A.N., DeYoung, R., (1997). “Problem loans and cost efficiency in commercial banks”. Journal of Banking and Finance 21, PP. 849–870.
    12. Bilal, Hazrat; Ahmad, Khursheed; Ahmad, Habib; Akbar, Sajid.  (2011).  Returns to Scale of Islamic Banks Versus Small Commercial Banks in Pakistan. European Journal of Economics, Finance & Administrative Sciences; Mar2011, Issue 30, pp136-151.
    13. BoruLelissa Tesfaye, (2014), “Factors Influencing the Level of Credit Risk in the Ethiopian CommercialBanks: The Credit Risk Matrix Conceptual Framework”, European Journal of Business and Management, Vol.6, No.23, pp.139-145.
    14. Boudriga, Abdelkader; Jellouli, Sana; Taktak, Neila Boulila; (2009) “Banking Supervision and Nonperforming Loans: A Cross-Country Analysis”, Journal of Financial Economic Policy, Vol. 1, Issue: 4, pp.286-318.
    15. Boumediene, A. & Caby, J. (2009), “The stability of Islamic Banks during the Subprime Crisis”, Retrived from: http://ssrn.com/abstract=1524775.
    16. Chamberlain Trevor W, HidayatSutan, Khokhar A. Rahman. (2018), “Credit Risk in Islamic and Conventional Banking”, International Atlantic Economic Society, 2. vol. 24(1). pp 99-100.
    17. Champa Ramkrishna Parab, M. R. Patil. (2018), “Sensitivity of Credit Risk to Bank Specific and Macro Economic Determinants: Empirical Evidence from Indian Banking Industry”, International Journal of Management Studies, Vol.–V. Issue –2(3). pp. 46,55.
    18. Chapra, Umer & Khan, Tariqullah. (2000), “Regulation and Supervision of Islamic Banks”, Islamic Research and Training Institute, Saudi Arabia, pp.1-109.
    19. Chol, Atem; Nyaliet, Martha. (2017), “Factors Affecting Non-Performing Loans: A Case Study Of Kcb Bank Kenya Limited Nairobi Region”,A Research Project Submitted In Partial Fulfilment Of The Requirement Of The Master Degree In Business Administration, Graduate Business School, Faculty Of Commerce, The Catholic Univesity Of Eastern Africa, Retrieved from http://ir.cuea.edu/jspui/bitstream/1/751/1/Martha%20%20project.
    20. Chong, B.S. Liu, M.H. (2009), “Islamic banking: interest-free or interest-based? ”, Pacific Basin Finance Journal, Vol. 17, pp.125–144.
    21. Cihak, M. & Hesse, H. (2008), “Islamic Banks and Financial Stability: An Empirical Analysis”, IMF Working Paper, Washington: International Monetary Fund, No. 08/16.
    22. Coyle, B. (2000), Framework for Credit Risk Management; Chartered Institute of Bankers,  Business & Economics, United Kingdom.
    23. Early J.S., (2006), “Problems in the Measurement of the Quality of Credit”, Proceedings of the Business and Economic Statistics Section of the American Association,PP. 202-217.
    24. Effendi, K. A. & Yuniarti, R. D. (2018), “Credit risk and macroeconomics of Islamic banking in Indonesia”, Journal of Accounting, Finance and Auditing Studies, 4(2). pp 1-13.
    25. Elgari, Mohamed Ali. (2003), “Credit Risk in Islamic Banking and Finance”, Islamic Economic Studies, vol.10. No.2, pp.1–28.
    26. Errico, M. L. & Farahbaksh, M. M. (1998), “Islamic banking: issues in prudential regulations and supervision”, International Monetary Fund, Retrieved from https://www.imf.org/external/pubs/ft/wp/wp9830.
    27. Garr David Kwashie. (2013), “Determinants of Credit Risk in the Banking Industry of Ghana”,Developing Country Studies, Vol.3. No.11, pp. 64-77
    28. Gup, B. E. Avram, K. Beal, D. Lambert, R. and Kolari, J. W. (2007), Commercial Banking: The Management of Risk, John Wiley and Sons Ltd, (3rd Ed.) Australia.
    29. How, J. C. Y. Karim, M. A. & Verhoeven, P. (2005), “Islamic financing and bank risks: The case of Malaysia”, Thunderbird International Business Review, 47, PP. 75–94.
    30. Hsiao, Cheng. (2003), “Analysis of panel data”, 2nd edition, the press syndicate of the University of Cambridge, 85.
    31. Isaac Gicang’iru Mwaurah. (2013), “The Determinants Of Credit Risk In Commercial Banks In Kenya”, A Research Project Submitted In Partial Fulfilment Of The Requirements For The Master Of Science In Finance Degree, University Of Nairobi, Retrieved from http://erepository.uonbi.ac.ke.
    32. Kabir Nurul Md. Worthington Andrew, Rakesh Gupta, (2015), “Comparative credit risk in Islamic and conventional bank”, Pacific-Basin Finance Journal, 34. PP. 327-353.
    33. Kabir, M.N.Worthington, A.C, (2014), Credit risk in Islamic financial products, In:Worthington, A.C. (Ed.), Contemporary Issues in Islamic Finance: Principles, Progress, and Prospects, Nova Publishing, New York, PP. 73–84.
    34. Khemraj, T. and Pasha, S, (2009), “The determinants of non-performing loans: an econometric case study of Guyana”, Presented at the Caribbean Centre for Banking and Finance Bi-annual Conference on Banking and Finance, St. Augustine, Trinidad. PP. 1-26
    35. Makri, Vasiliki. Tsagkanos, Athanasios; Bellas, Athanasios; (2014). “Determinants of Non-Performing Loans: The Case of Eurozone, Panoeconomicus”. vol 2. pp193-206.
    36. Masood Omar, Al Suwaidi Hasan, Darshini Pun Thapa Priya, (2009), “Credit risk management: a case differentiating Islamic and non-Islamic banks in UAE”, Qualitative Research in Financial Markets, Vol. 4 Iss: 2, pp.197-205.
    37. McNulty, J.E. Akhigbe, A.O. and Verbrugge, J.A. (2001), “Small Bank Loan Quality in a Deregulated Environment: The Advantage Hypothesis”, Journal of Economics and Business, 53, PP. 325-39.
    38. Mohd Zaini Abd Karim, Sok-Gee Chan, Sallahudin Hassan, (2010), “bank efficiency and non-performing loans: evidence from Malaysia and singapore”, prague economic papers. 2. PP. 118-133.
    39. Mongi Lassoued, (2018), “Comparative study on credit risk in Islamic banking institutions: The case of Malaysia”, The Quarterly Review of Economics and Finance, 70, PP. 267-278.
    40. Msigwa Carlo, (2013), Factors affecting non-performing loans in Banking industry: A case of KCB Bank (Tanzania) Limited, Morogoro and Msimbazi Branches, dissertation for award of the degree of Masters in Accountancy and Finance (MSc A&F) of Mzumbe University, Retrieved from http://scholar.mzumbe.ac.tz. PP. 1-84.
    41. Najuna, MismanFaridah; BhattiIshaq; AbdRahman, NorHadaliza; LouWeifang; SamsudinSyamsyul. (2015). “Islamic Banks Credit Risk: A Panel study”, Procedia Economics and Finance, vol 31, pp 75-82.
    42. Nikhat Fatima, (2014), “Capital Adequacy: A Financial Soundness Indicator for Banks”, Global Journal of Finance and Management. Vol.6, No. 8, PP. 772-773.
    43. Pestova, Anna; Mamonov, Mikhail. (2013), “Macroeconomic and bank?specific determinants of credit risk: evidence from Russia”, EERC Working Paper Series 13/10. PP. 1-53.
    44. Rahman, R. A. Alsmady, A. Ibrahim, Z. & Muhammad, A. D. (2014), “Risk management practices in Islamic banking institutions: A comparative study between Malaysia and Jordan”, The Journal of Applied Business Research, 30(5), PP. 1295–1304.
    45. Rajha, Khaled Subhi. (2016), “Determinants of Non-Performing Loans: Evidence from the Jordanian Banking Sector”, Journal of Finance and Bank Management, Vol 4, No 1, PP. 125-136.
    46. Safiullah Md, Abul Shamsuddin. (2018), “Risk in Islamic banking and corporate governance”, Pacific-Basin Finance Journal, 47, PP. 129–149.
    47. Said, Ali. (2013). “Risks and Efficiency in the Islamic Banking Systems: The Case of Selected Islamic Banks in MENA Region”; International Journal of Economics and Financial Issues Vol. 3, No. 1, PP. 66-73.
    48. ShahrulNizam Ahmadand, NorHayati Ahmad. (2004), “Key Factors Influencing Credit Risk Of Islamic Bank: A Malasyan Case”, The Journal of Muamalat and Islamic Finance Research, PP. 1-2,5.
    49. Siddiqui, A. (2008), “Financial contracts, risk and performance of Islamic banking”, Managerial Finance, Vol. 34, PP. 680–694.
    50. Srairi, S. A. (2009), “Factors influencing the profitability of conventional banks and Islamic banks in GCC countries”, Review of Islamic Economics, 13(1), PP. 5-30.
    51. Sufian, F. &, Muhamed, Z.A. (2011), “The Nexus between Economic Freedom and Islamic Bank Performance: empirical Evidence from the MENA Banking Sectors”, 8th International Conference on Islamic Economics and Finance, 18th-20th. PP 412- 442.
    52. Sundararajan, V. and Errico, L. (2002), “Islamic Financial Institutions and products in the global financial system: Key issues in risk management and challenges ahead”, FMI, WP, pp. 192. 1-28.
    53. Tole, Million Gizaw; Sultan Jabir, Mohammed; Wolde, Haymanot Alemayehu. (2019), “Determinates of Credit Risk in Ethiopian Commercial Banks”, Journal of Accounting, Finance and Auditing Studies, Volume 5. Issue 1, pp. 196-212.
    54. Vitria, Indriani. (2008), “The relationship between Islamic financing with risks and performance of commercial banks in Indonesia”, Masters thesis, University of Malaya.pp. 1-208.
    55. Waei, brorheem; Waei, Mustafa; Suriani, Sukri. (2015), “Bank Specific and Macroeconomics Dynamic Determinants of Credit Risk in Islamic Banks and Conventional Banks”, International Journal of Economics and FinancialIssues, pp. 476-481.
    56. Zolkifli Norazwa Ahmad, Abdul Hamid Mohamad, Janor Hawati binti, “Determinants of Credit Risk in Islamic and Conventional Bank: Evidence from Malaysia”, International Journal of Academic Research in Business and Social Sciences, Vol. 8, No. 6, pp. 1054–1068.
    57. Zorana Agić, Zoran Jeremić. (2018), “Macroeconomic and Specific Banking Determinants of Nonperforming loans in Bosnia and Herzegovina”, Industri ja, Vol.46, No.z,pp. 45-61.