چکیده:
The purpose of this study is to find the relationship between lending to Small and Medium-size Exporter Enterprises (E-SMEs) and the use of Basel II Capital Accord for the first time in the banking system of Iran. Results showed that 96.69 percent of small firms were in the very low risk category of credit portfolio. This proof explains a consistent and balanced relationship between risk- weighted assets distribution system (RWA) in Basel II Capital Accord and firms’ size. In other words, the smaller the size of the firm, the smaller their risk-share in the credit portfolio would be. Furthermore, according to the results found by Probit regression with an endogenous covariate, the higher ratings the firm recovers, the less risk-share in bank’s portfolio the firm will enjoy. Thus,it is indispensable that banks, chiefly specialized banks, should take action towards the allocation of parts of the credit portfolio to SME exporter financing. Accordingly, it is essential to design particular credit scoring models for these firms.
خلاصه ماشینی:
"In this research we are aiming at two main purposes; firstly to investigate the probable impact of Basel II Capital Accord on the distribution of Risk Weighted Assets of export oriented SMEs in financial institutions‟ credit portfolios, and secondly to provide a specialized model for measuring the default risk of SMEs, considering their export oriented structure.
Thirdly, after the crisis, some observers have blamed Basel II for allowing banks to drive with insufficient capital levels, while others have raised serious concerns for a possible crisis of credit, particularly for the SMEs. In this paper, in order to quantify the expected effect on the bank‟s capital requirements when considering a small firm as either retail or corporate; we use data from a sample of large Iranian banks.
By using "Sensitivity Analysis" they indicate that there are positive effects on lending to SMEs. Chang and Chu (2005) have found that the risk weights for the internal rating method in the Basel II increased and so with these capital requirements of banks, the lending to small and medium enterprises is reduced.
Table 4: List of Selected Variables Categoria Financial ratio ACTIVITY + Sales/Total Assets (Sales-TA) LEVERAGE + Liabilities/Total Assets (TD-Tassets) PROFITABILITY + Ebit/Sales (EBIT-Sales) LIQUDITY + Cash/Net sales (LIQ-Sales) LIQUDITY + Working Capital/Total Assets (WC-Tassets) LIQUDITY + Cash/Total Assets (Cash-Tassets) COVERAGE + Fbit/Interest Expenses (FRIT-IF) Supplement + Facilities ENDOGENOUS VARIBLE + SME In the Iranian sample, there are 1492 SMEs derived from the portfolio of a specialist sample bank of Iran."