مهدیه اکبری روشن

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.