Credit Scoring Models with Truncated Samples and Their Validation
AbstractThe main object of this paper is to develop a credit scoring methodology for Argentine bank commercial obligors based on information available in the Public Credit Registry of the Central Bank of Argentina (Central de Deudores) as a reference tool to assess credit risk in local banks. Previous experience in this field has shown promising results; in this paper, we focus on two innovative aspects: firstly, the potential bias introduced by the fact that a considerable number of obligors are removed from the database for no traceable reason, and secondly, the application of validation techniques to the resulting models as proposed by the document recently published by the BCBS.
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Bibliographic InfoPaper provided by Central Bank of Argentina, Economic Research Department in its series BCRA Working Paper Series with number 200604.
Length: 30 pages
Date of creation: May 2006
Date of revision:
Argentina; banks; credit scoring; credit risk; credit registers; truncated samples;
Find related papers by JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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- Ricardo Schechtman & Valéria Salomão Garcia & Sergio Mikio Koyama & Guilherme Cronemberger Parente, 2004. "Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis," Working Papers Series 91, Central Bank of Brazil, Research Department.
- Ricardo N. Bebczuk, 2007. "Loans Size and Portfolio Loss Predictability in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(49), pages 139-155, October -.
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