| Title |
Credit risk estimation model development process: main steps and model improvement / |
| Translation of Title |
Kredito rizikos vertinimo modelio sudarymo procesas: pagrindiniai etapai ir modelio tobulinimas. |
| Authors |
Mileris, Ricardas ; Boguslauskas, Vytautas |
| DOI |
10.5755/j01.ee.22.2.309 |
| Full Text |
|
| Is Part of |
Inžinerinė ekonomika = Engineering economics.. Kaunas : Technologija. 2011, vol. 22, iss. 2, p. 126-133.. ISSN 1392-2785. eISSN 2029-5839 |
| Keywords [eng] |
bank ; credit ratings ; credit risk ; classification methods |
| Abstract [eng] |
The attribution of credit ratings for clients is a very important issue in the banking sector. Banks must evaluate credit risk of credit applicants by using standardized (external rating institutions) or internal ratings-based (IRB) methods. Banks which decided to use IRB method attempt to develop precise internal credit rating models for the evaluation of creditworthiness of their borrowers. The internal rating method for the estimation of default probability requires to collect the default information from the historical data in banks. The major studies about default determinating factors are based on classification methods (Zhou, Xie, Yuan, 2008). A classification model considers the default measurement as the pattern recognition where all borrowers are divided to non-default and default groups based on their financial and non financial data. Banks attempt to construct an evaluation model that can be used to discriminate new sample. This research focuses on a credit rating model development which could attribute credit ratings for Lithuanian companies. The steps of a model’s development and improvement process are described in this paper. [...]. |
| Published |
Kaunas : Technologija |
| Type |
Journal article |
| Language |
English |
| Publication date |
2011 |
| CC license |
|
