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Default predictors in retail credit scoring: evidence from Czech banking data
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SYSNO ASEP 0369544 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Default predictors in retail credit scoring: evidence from Czech banking data Author(s) Kočenda, Evžen (NHU-C) RID
Vojtek, M. (SK)Source Title Emerging Markets Finance and Trade - ISSN 1540-496X
Roč. 47, č. 6 (2011), s. 80-98Number of pages 19 s. Language eng - English Country US - United States Keywords banking sector ; credit scoring ; discrimination analysis Subject RIV AH - Economics R&D Projects GA402/09/1595 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000299858100006 DOI 10.2753/REE1540-496X470605 Annotation Credit to the private sector has risen rapidly in European emerging markets, but its risk evaluation has been largely neglected. Using retail-loan banking data from the Czech Republic, we construct two credit risk models based on logistic regression and classification and regression trees. Both methods are comparably efficient and detect similar financial and socioeconomic variables as the key determinants of default behavior. We also construct a model without the most important financial variable (amount of resources), which performs very well. This way, we confirm significance of sociodemographic variables and link our results with specific issues characteristic to new EU members. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012
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