Investigating factors affecting credit risk in Afghanistan's banking system (using Var vector autoregression method)

In Afghanistan's banking system, the subject of risk management is one of the new topics, and less scientific research has been done in this field. The purpose of this research is to investigate the factors affecting credit risk in the banking system of Afghanistan.
The research data is a time series, these data covers 9 years, i.e. from 1389-1397, and among the statistical and econometric methods, autoregression method (Var) was used to analyze these data.
In this research, to investigate the factors affecting credit risk in Afghanistan's banking system, the credit risk measurement index is the ratio of non-current receivables to total facilities. Factors affecting the credit risk of banks' financial structure, which is the ratio of facilities to deposits, and the default index, that is; The ratio of facilities to assets is also considered, along with these factors due to structural failure, a virtual variable is also included in the model.
The findings of the research show that the statistical results are in accordance with the theoretical foundations and confirm the influence of these indicators on credit risk, but compared to internal factors such as the financial structure index and the default index, the structural failure index that is caused by the effects of political factors and weak management And the control of the central bank has been the most effective in increasing the credit risk during this period.