Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
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 |
ISSN 2311-8725 (Online)
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