Default predictors in retail credit scoring: evidence from Czech banking data

0369544 - NHU-C 2012 RIV US eng J - Článek v odborném periodiku
Kočenda, Evžen - Vojtek, M.
Default predictors in retail credit scoring: evidence from Czech banking data.
Emerging Markets Finance and Trade. Roč. 47, č. 6 (2011), s. 80-98. ISSN 1540-496X. E-ISSN 1558-0938
Grant CEP: GA ČR GA402/09/1595; GA MŠMT LC542
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: banking sector * credit scoring * discrimination analysis
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.953, rok: 2011

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.
Trvalý link: http://hdl.handle.net/11104/0203580