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Clustering of Borrowers at the Level of Defaults: Rating Approach (Regions of the Siberian Federal District)

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  • Petukhova, M.

    (Institute of Economics and Industrial Engineering SB RAS (IEIE SB RAS), Novosibirsk, Russia)

Abstract

This article suggested method of probability estimation of defaults in the retail. This method is based on the clustering of borrowers depending on the level of credit risk and satisfying international standards of credit risk. Performed testing methodology on the example of some regions of the Siberian Federal District, identified the essential features of the behavior of borrowers in the regions. Calculated the ratings of the regions in terms of probability of defaults on consumer loans (retail).

Suggested Citation

  • Petukhova, M., 2012. "Clustering of Borrowers at the Level of Defaults: Rating Approach (Regions of the Siberian Federal District)," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 71-102.
    • Handle: RePEc:nea:journl:y:2012:i:16:p:71-102
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    References listed on IDEAS

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    1. David A Grigorian & Vlad Manole, 2006. "Determinants of Commercial Bank Performance in Transition: An Application of Data Envelopment Analysis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 48(3), pages 497-522, September.
    2. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    assessing the creditworthiness of borrowers; consumer credit (retail); probability of default; regions of Siberian Federal District; rating models; clustering; decision tree; regional features of borrowers' behavior;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • O18 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
    • P4 - Political Economy and Comparative Economic Systems - - Other Economic Systems

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