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Дискриминантный анализ в оценке кредитных рисков // Discriminant Analysis in credit risk assessment

Author

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  • Керимхан Жанар // Kerimkhan Zhanar

    (National Bank of Kazakhstan)

Abstract

В рамках данного исследования построена модель, которая позволила выявить наиболее информативные индикаторы финансового состояния предприятия и определить приближение кризисной ситуации на предприятии (вероятность банкротства), и на этой основе классифицировать их по степени надежности. Предприятия в данном случае рассматриваются в качестве потенциальных заемщиков, от результатов производственно-хозяйственной деятельности которых зависят стабильность и устойчивость банковского сектора // In this working paper, a model was built that made it possible to identify the most informative indicators of the financial condition of an enterprise and determine the approach of a crisis situation at an enterprise (the likelihood of bankruptcy), and on this basis classify them according to the degree of reliability. In this case, enterprises are considered as potential borrowers, the stability and sustainability of the banking sector depend on the results of their production and economic activities.

Suggested Citation

  • Керимхан Жанар // Kerimkhan Zhanar, 2018. "Дискриминантный анализ в оценке кредитных рисков // Discriminant Analysis in credit risk assessment," Working Papers #2018-2, National Bank of Kazakhstan.
    • Handle: RePEc:aob:wpaper:19
    as

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    File URL: https://nationalbank.kz/file/download/9013
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    More about this item

    Keywords

    Дискриминантная функция; классификационная функция; модели прогнозирования банкротства; мониторинг предприятий; discriminant function; classification function; bankruptcy forecasting models; sample surveys;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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