فهرست نشریات علمی دسترسی آزاد ایران

Bank facilities can be categorized into large-scale and non-large-scale facilities based on their value and in compliance with banking regulations. Given the significant share of large-scale facilities in the country's total credit portfolio, the exposure to a limited number of borrowers — primarily major corporations — and their subsequent direct and indirect effects on the banking system and the economy, this paper investigates the credit concentration risk associated with large-scale facilities. Using the Herfindahl-Hirschman Index (HHI), the degree of name concentration in the allocation of large-scale facilities among beneficiaries was measured, and its impact on the default rate of these facilities was estimated using a Generalized Method of Moments (GMM) model for 15 banks listed on the Tehran Stock Exchange during the period 2022 – 2024. Additionally, the share of large-scale facilities in the total loans granted by each bank (as another concentration measure) was included in the model, along with the loans-to-deposits ratio and the capital adequacy ratio as control variables. The model results indicate stickiness and a statistically significant impact of the lagged default rate of large-scale facilities. It was observed that name concentration in the allocation of large-scale facilities has a negative effect on the default rate of these facilities. However, the share of large-scale facilities in total loans — as an alternative concentration measure — did not exhibit a statistically significant effect on their default rate. Furthermore, the loans-to-deposits ratio, which serves as an indicator of banks ’ liquidity and resource management performance, had a significant negative effect. Additionally, an improvement in the capital adequacy ratio led to a statistically significant reduction in the default rate of large-scale facilities.