Ανάπτυξη υποδείγματος μέτρησης του πιστωτικού κινδύνου
Ροδουσάκης, Παναγιώτης - Νικόλαος Σ.
SubjectΠιστωτικός κίνδυνος ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι
The subject of this study is to develop a model which enables the estimation of credit risk. At the beginning, the concept of credit risk, as well as the relevant subjects of Basel II, were presented and discussed. Next, three different methodologies aiming to measure credit risk were evaluated. Finally, a Logit type model was developed, based on the relevant data of a Greek bank. This model exhibited a satisfactory predictive ability, classifying correctly up to 70% of the customers in the sample. However, higher percentages are required to be characterized as efficient. A possible explanation of its limited ability, in the above sense, may be due to the strict classification of the clients in the sample, from the part of the bank which provided the needed data.