Teimour Mohammadi; Mohammad Hossein Pourkazemi; Abbass Shakeri; Ali Safdari; Behnam Aminrostamkolaee
Abstract
The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve ...
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The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve some problems of banks valuation. At first for the period of 4 years, market value of assets, assets volatility and the distance to default were calculated and compared. Then, weighted average of market value, volatility, and Z-score for the banks in the period were also computed and compared. The results showed that Mellat bank had the highest, and Sina bank had the lowest value during the period. The results of assets risk and distance to default (Z score) have been different for each year. Also, weighted average of market value and assets risk (volatility) of these banks showed a rising trend during these 4 years. Considering the increased average capital adequacy ratio during these 4 years for 8 banks, the average Z (distance to default) has been decreased. This means that during the period of 4 years, by increasing the rate of capital adequacy, banks have been closer to default. Probably, the negative effects of economic and non-economic factors exceed positive impact of capital adequacy rate.
Seyed Komail Tayebi; Mohammad Omidinezhad; Abbas Motahari Nejad
Volume 13, Issue 41 , February 2010, , Pages 1-28
Abstract
The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following ...
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The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following Battese and Coelli (1992) using the Maximum Likelihood method and a panel data. Labor, physical capital, and financial capital are considered as inputs, and loans, bonds and other earning assets as outputs. The results show that most of the private banks are more efficient in profit efficiency than public banks, while most of the public banks are more efficient than private banks in cost efficiency. The cost efficiency has decreased but the profit efficiency has increased for the period under consideration. Profit efficiency is not positively correlated with cost efficiency, suggesting the possibility that cost and revenue inefficiencies may be negatively correlated. Cost efficiency ranges from 46.88 percent (Bank Saderat) to 91.58 percent (Bank Tejarat) with an average of 68.8 percent, and profit efficiency from 61.16 percent (Bank Melli) to 94.85 percent (Bank Sepah) with an average of 85.3 percent. Average and variance of profit efficiency is more than those of cost efficiency, implying profit efficiency is influenced by more variables.
