Credit Risk Test Stress Model of the Banking Industry under Macroeconomic Scenarios

[1] Abbasids, Ezzatullah et al. 2016. The effect of diversification in the facility portfolio on banks' credit risk. Publication: Financial Research.

[2] Abbasinejad, Hussein. 1395. Econometrics - Principles and Methods. Publisher: University of Tehran Press. Publication date: December 2016

[3] Abdul Shah, Fatemeh and Saeed Moshiri. 1396. Stress test of probability of default of Iran's banking industry with credit portfolio approach. Economic Research Journal of the Seventeenth Fall 2017 No. 3 (66 consecutive)

[4] Adeli, Omid Ali and Fathi, Mohammad Reza and Maleki, Mohammad Hassan and Azizi, Hamed, 1399, Investigating the effect of macroeconomic uncertainty on credit risk of Iranian banks, Fourth National Conference on Accounting and Management Research, Tehran

[5] Asteriou, Dimitrios & Konstantinos Spanos. 2019. The relationship between financial development and economic growth during the recent crisis: Evidence from the EU. Finance Research LettersMarch 2019. https://doi.org/10.1016/j.frl.2018.05.011

[6] Barazandeh Tanha, Gholamreza, 1399, The Impact of Financial Crisis and Financial Reporting, Sixth International Conference on Management and Accounting, Tehran

[7] Brother, Ahmad (1394). Macroeconomics (first edition). Tehran: Publications of the Institute of Business Studies and Research.

[8] Barzegarinegad, A., Jahanshahloo, G., & Rostamy-Malkhalifeh, M. (2014). A full ranking for decision making units using ideal and anti-ideal points in DEA. The Scientific World Journal, 2014.

[9] Corzo, Teresa, et al. 2020. A common risk factor in global credit and equity markets: An exploratory analysis of the subprime and the sovereign-debt crises. HeliyonJune 2020. https://doi.org/ 10.1016/ j.heliyon. 2020.e03980

[10] Creel, Michael. 2017. Neural nets for indirect inference. Econometrics and Statistics, Volume 2, April 2017, Pages 36-49. https://doi.org/ 10.1016/ j.ecosta. 2016.11.008

[11] Dabiri and Amir Ali Rezvani Bidgoli. 1395. Econometrics. Publisher: Sanjesh va Danesh Publications. Publication date: December 2016

[12] Doytch N. & M. Uctum (2011), "Does the Worldwide Sshift of FDI From Manufacturing to Services Accelerate Economic Growth? A GARCH Estimation Study", Journal of International Money and Finance, Vol. 30, PP. 410–427. https://doi.org/ 10.1016/ j.jimonfin.2011.01.001

[13] Farid, Dariush; Morteza Mahmoudi and Zahra Taqiban Dinani, 2015, Systematic Financial Risk Survey in Momentum Trading Strategy in Tehran Stock Exchange, International Conference on Management and Humanities, UAE-Dubai, Vira Capital Institute of Managers

[14] Hall, John. 2005. Fundamentals of Financial Engineering and Risk Management. Useful brokerage. Exchange Publications

[15] Hasheminejad, Seyed Mohammad

and Mohammad Reza Abdollahi. 1395. Financial Risk Prediction Book. Publisher: Bourse (affiliated with Bourse Information and Services Company). Year of publication: 2016

[16] He, Q., Liu, J., Gan, J. and Qian, Z., 2019. Systemic financial risk and macroeconomic activity in China. Journal of Economics and Business, 102, pp.57-63.

[17] Hu, Grace Xing. 2020. Rollover risk and credit spreads in the financial crisis of 2008. The Journal of Finance and Data ScienceNovember 2020. https://doi.org/ 10.1016/ j.jfds.2020.06.001

[18] Issam Rudsari, Abdullah. 1398. Introduction to economic functions and variables affecting the basics of employment. Category of Economics and Management, ISBN: 978-600-100-337-0. Print 2015

[19] Jahanshahloo, G. R., Soleimani-Damaneh, M., & Rostamy-Malkhalifeh, M. (2005). An enhanced procedure for estimating returns-to-scale in DEA. Applied Mathematics and Computation, 171(2), 1226-1238.

[20] Jurion, Philip. 2006. Value at Risk: A New Criterion for Financial Risk Management, Version 3 Publisher: McGraw-Hill Year: 2006

[21] Kianpour, Saeed and Hamid Mohammad Rezaei Azandariani. 1395. Book of Macroeconomics. Publisher: Hegmataneh Comprehensive Publications. Category of economics books, published in 2016

[22] Kohzadi Tahneh, Azadeh, 1399, Study of the relationship between credit risk and profitability of Iranian commercial banks, Sixth International Conference on Management and Accounting, Tehran

[23] Lei, Likun, et al. 2019. Does the financial crisis change the economic risk perception of crude oil traders? A MIDAS quantile regression approach. Finance Research LettersSeptember 2019.

[24] Lotfi, F.H., Navabakhs, M., Tehranian, A., Rostamy-Malkhalifeh, M. and Shahverdi, R., 2007. Ranking bank branches with interval data the application of DEA. In International Mathematical Forum (Vol. 2, No. 9, pp. 429-440).

[25] Parsaiyan, Ali (1378) ”Risk Management. Dimensions of Risk Management, Its Definition and Application in Financial Organizations ", Financial Research, Fourth Year, No. 13 and 1, pp. 125-144

[26] Pattnaik, Debidutta, et al. 2020. Trade credit research before and after the global financial crisis of 2008 – A bibliometric overview. Research in International Business and Finance December 2020. https://doi.org/ 10.1016/ j.ribaf.2020.101287

[27] Psychalis, Marios. 2020. Mitigating the COVID Economic Crisis: Act fast and do whatever it takes. International Review of Economics & FinanceSeptember 2020. https://doi.org/10.1016/j.iref.2020.06.036.

[28] Roadside Guide, Fereydoun. 2016. Financial Risk Management Book - Volume I (History, Principles, Approaches and Models). Allen M. Malaysia, (author). Publisher: Cashmere. Publication date: October, 2016

[29] Rostamy-Malkhalifeh, M., & Mollaeian, E. (2012). Evaluating performance supply chain by a new non-radial network DEA model with fuzzy data. Science, 9.

[30] Rostamian, Nafiseh; Seyed Ali Hosseini Yakani and Fatemeh Kashiri Kolaei, 1397, Measuring Operational

Risk in the Iranian Banking System Using Risk-Based Value Index, 7th National Conference on Accounting and Management Applications, Tehran, Asia Gold Communication Group

[31] Saadi, Ali. 1397. Risk and Capital Management. Published by: Arad. Year of publication: 1397

[32] Saruqian, Hamid. 2011. Identification of operational risk incentives affecting the credit portfolio of the Housing Bank to provide a solution to reduce them. Thesis of Islamic Azad University - Islamic Azad University, Central Tehran Branch - Faculty of Management. Supervisor Mohammad Hassan Ebrahimi Sarv Alia Mahmoud Mohammadi. Year of publication 1390

[33] Talibnia, Ghodratollah and Nikpoor Parvar, Zare and Yazdi, Mahmoud (2010), "Study of the effect of companies' financial variables on their trading volume in Tehran Stock Exchange", Journal of Financial Research, Volume 12, Number 29, pp. 79-98

[34] Taqwa, Mehdi and Mehdi Keramatfar. 1395. Understanding digital economics. Publisher: Iran Information Technology Organization. Authors: Eric Jolfsen, Brian Priest. Published: 1395

[35] Yakideh, Kaykhosrow and Mina Kazemi Miangskari, 1397, Utilization of Mathematical Model of Intelligent Value Optimization in the Exposure to Conditional Risk in Selecting the Optimal Stock Portfolio, 11th International Conference on Operations Research, Kermanshah, Iranian Research Association Information Number: Spring 2016, Volume 18, Number 1; From page 149 to page 166

[36] Zolfaghari, Mehdi and Fatemeh Faghihian, 1397, Risk extraction and analysis of mass production industry, real estate based on risk-based value-based method based on Markov approach, Quarterly Journal of Economics and Urban Management 6 (23)

[37] Zomordian Gholamreza, Hemmati Asyabraki Mehdi, Radkftroudi Hossein. 2017. Periodic Value Exposure Value Test (LiVaR) and risk management using self-regression vector (VAR) model. Journal: Financial Knowledge of Securities Analysis (Financial Studies): Winter 2017, Volume 10, Number 36; From page 59 to page 69.