Assessing Risk Factors Affecting Banking System Credit Portfolio Returns in Iran Using Agent-Based Models Approach

Abstract

Agent-based models were introduced into the investment literature by Sharpe in the 1960s with the design of the single-index model and then expanded with the design of multi-index models. From this perspective, the macroeconomic affects ROI through two categories including general and specific risk factors. The present study tested the impact of the variance of changes in the risk factors affecting Iran's banking system credit portfolio returns based on the same approach over the period 2004-2018 using the OLS technique. According to the results of this test, among the general and specific risk factors, the variance of changes in GDP growth rate, oil revenues, real interest rate, and NPL ratio had a direct relationship with the growth rate of the banking system credit portfolio returns and the inflation rate had an inverse relationship with it. Besides, the results indicated that all risk factors affected the banking system's credit portfolio returns after a lag period.