Home  Journals  Economic Analysis: Theory and Practice  4(169) - 2010 February

Modelling of credit risk dependence on company’s financial position

Available online: 3 February 2010

Subject Heading: The financial analysis

JEL Classification: 

In this article two new models (model of decision-making about lending money, model of assessment of provision for loan impairment) with quantitative and qualitative factors were suggested. Data envelopment analysis (DEA) was used for making a model for credit risk assessment. As opposed to the broadly known multiple discriminant analysis (which requires priori information, i.e. good/bad classification), DEA requires solely ex-post information (set of ratios to maximize and minimize). Thus, one can analyze a larger number of companies using financial statements. Some papers show that the DEA approach predicts future corporate distress not worse than the multiple discriminant analysis approach.

Keywords: risk, credit, model, reserves, estimator, creditworthiness, debtor

View all articles of issue

ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

Journal current issue

Vol. 23, Iss. 4 April 2024

Archive