The study of effective factors on probability of default bank's credit facilities (The case study of legal customer of Export Development Bank of Iran)

The aim of this research is to verify effective factors of legal counterparty credit risk of Export Development Bank of Iran (EDBI), and design a probability of default measurement model using logit regression. 330 probability samples were selected from companies that took loans in year 1387 (2008-2009) including 256 good pay bank customers and 65 bad pay bank customers. Seven variables have been recognized which have significant influence at companie's credit risk among 13 selected financial ratios as effective explanatory variables in default probability based on statistics indexes and economic and financial theories. after significant examining total of the regression with LR statistic final model in 5% level of significance created by them. The results expressed that cash flow on total debt ratio (CSDT), assets turnover ratio (SATA), current ratio (CACD) and liquidity ratio (LR) have a reverse effect on credit risk. Free cash flow ratio (RETA), total debt ratio (TDTE) and current debts to net worth ratio (CDTE) have a direct effect on credit risk.