ESTIMATING THE PROBABILITY OF DEFAULT IN THE CREDIT SCORING MODEL WITH MACROECONOMIC VARIABLES

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Effect of Macroeconomic Variables on Credit Default Cycles in the Country's Monetary Market

 The main challenge facing the country's banking system is credit default or the possibility of defaulting borrowers from fulfilling their obligations to the banking system, known as credit risk. Therefore to control credit risk, the factors influencing this type of risk must be identified. Several factors affect credit default in the non-government sector. This study examines the asymmetric ef...

متن کامل

Credit scoring with macroeconomic variables using survival analysis

Survival analysis can be applied to build models for time of default on debt. In this paper we report an application of survival analysis to model default on a large data set of credit card accounts. We show that survival analysis is competitive for prediction of default in comparison with logistic regression. We explore the hypothesis that probability of default is affected by general conditio...

متن کامل

A hybrid model for estimating the probability of default of corporate customers

Credit risk estimation is a key determinant for the success of financial institutions. The aim of this paper is presenting a new hybrid model for estimating the probability of default of corporate customers in a commercial bank. This hybrid model is developed as a combination of Logit model and Neural Network to benefit from the advantages of both linear and non-linear models. For model verific...

متن کامل

Loss given default models incorporating macroeconomic variables for credit cards

Based onUKdata formajor retail credit cards,we build severalmodels of Loss GivenDefault based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic variables perform best for forecasting Loss Given Default at the account and portfolio levels on independent hold-out data sets. The i...

متن کامل

Macroeconomic Uncertainty and Credit Default Swap Spreads

This paper empirically investigates the impact of macroeconomic uncertainty on the spreads of credit default swaps (CDS). While existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we show that the second moments of these factors—macroeconomic uncertainty—predict CDS spreads even in the presence of traditional macroeconomic factors s...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Transactions of the Operations Research Society of Japan

سال: 2012

ISSN: 1349-8940,2188-8280

DOI: 10.15807/torsj.55.42