| Title |
New internal rating approach for credit risk assessment / |
| Another Title |
Naujas vidaus reitingų modelis kredito rizikos vertinimui. |
| Authors |
Boguslauskas, Vytautas ; Mileris, Ričardas ; Adlytė, Rūta |
| DOI |
10.3846/20294913.2011.583721 |
| Full Text |
|
| Is Part of |
Technological and economic development of economy.. Vilnius; London : Technika; Taylor&Francis. 2011, vol. 17, no. 2, p. 369-381.. ISSN 2029-4913. eISSN 2029-4921 |
| Keywords [eng] |
Credit risk assessment ; Analysis of variance ; Kolmogorov-Smirnov test ; Logistic regression ; Mahalanobis Distance |
| Abstract [eng] |
The assessment and modeling of the credit risk is one of the most important topics in the field of financial risk management. In this investigation the credit risk assessment model was developed and tested for Lithuanian companies. 20 financial ratios of the companies were calculated for each year of the 3 year period of interest. The analysis of variance (ANOVA) and Kolmogorov-Smirnov test were applied and the set of variables reduced from 60 to 25. Logistic regression was used for the classification of the companies into reliable and not reliable ones. Financial ratios, having the highest correlation to the possibility of default were selected for further investigation and several credit ratings were attributed to the companies according to these variables’ values. The average values of Mahalanobis Distances calculated for the most reliable companies were the lowest and these values increased with a decreased reliability of the company. The differences between Mahalanobis Distances of the companies having different credit ratings confirmed the reliability of the model results. |
| Published |
Vilnius; London : Technika; Taylor&Francis |
| Type |
Journal article |
| Language |
English |
| Publication date |
2011 |
| CC license |
|
