Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data
Credit to the private sector has risen rapidly in European emerging markets but its risk evaluation has been largely neglected. Using retail-loan banking data from the Czech Republic we construct two credit risk models based on logistic regression and Classification and Regression Trees. Both methods are comparably efficient and detect similar financial and socio-economic variables as the key determinants of default behavior. We also construct a model without the most important financial variable (amount of resources) that performs very well. This way we confirm significance of socio-demographic variables and link our results with specific issues characteristic to new EU members.
|Date of creation:||01 Apr 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 734 763-5020
Fax: 734 763-5850
Web page: http://www.wdi.umich.edu
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Avery, Robert B. & Calem, Paul S. & Canner, Glenn B., 2004. "Consumer credit scoring: Do situational circumstances matter?," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 835-856, April.
- Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Banco de Espa�a Working Papers 0712, Banco de Espa�a.
- Evžen Koèenda & Jan Hanousek & Peter Ondko, 2007. "The Banking Sector in New EU Member Countries: A Sectoral Financial Flows Analysis (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(5-6), pages 200-224, August.
- Alexis Derviz & JiÅÃ Podpiera, 2008.
"Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic,"
Emerging Markets Finance and Trade,
M.E. Sharpe, Inc., vol. 44(1), pages 117-130, January.
- Alexis Derviz & Jiri Podpiera, 2004. "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Working Papers 2004/01, Czech National Bank, Research Department.
- Anderson, Raymond, 2007. "The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation," OUP Catalogue, Oxford University Press, number 9780199226405, March.
- Jacobson, Tor & Roszbach, Kasper, 1998.
"Bank Lending Policy, Credit Scoring and Value at Risk,"
SSE/EFI Working Paper Series in Economics and Finance
260, Stockholm School of Economics.
- Jacobson, Tor & Roszbach, Kasper, 2003. "Bank lending policy, credit scoring and value-at-risk," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 615-633, April.
- Jacobson, Tor & Roszbach, Kasper, 1998. "Bank Lending Policy, Credit Scoring and Value at Risk," Working Paper Series 68, Sveriges Riksbank (Central Bank of Sweden).
- Grigorian, David A. & Manole, Vlad, 2002.
"Determinants of commercial bank performance in transition - an application of data envelopment analysis,"
Policy Research Working Paper Series
2850, The World Bank.
- David A Grigorian & Vlad Manole, 2006. "Determinants of Commercial Bank Performance in Transition: An Application of Data Envelopment Analysis," Comparative Economic Studies, Palgrave Macmillan, vol. 48(3), pages 497-522, September.
- David A. Grigorian & Vlad Manole, 2002. "Determinants of Commercial Bank Performance in Transition; An Application of Data Envelopment Analysis," IMF Working Papers 02/146, International Monetary Fund.
- Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer, vol. 34(1), pages 1-34, August.
- Ranjula Bali Swain, 2007. "The demand and supply of credit for households," Applied Economics, Taylor & Francis Journals, vol. 39(21), pages 2681-2692.
- Marcello Bofondi & Francesca Lotti, 2006. "Innovation in the Retail Banking Industry: The Diffusion of Credit Scoring," Review of Industrial Organization, Springer, vol. 28(4), pages 343-358, June.
- Régis Blazy & Laurent Weill, 2006.
"Why Do Banks Ask for Collateral and Which Ones ?,"
Working Papers of LaRGE Research Center
2006-03, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Andreas Charitou & Evi Neophytou & Chris Charalambous, 2004. "Predicting corporate failure: empirical evidence for the UK," European Accounting Review, Taylor & Francis Journals, vol. 13(3), pages 465-497.
- Alberto F. Alesina & Francesca Lotti & Paolo Emilio Mistrulli, 2008.
"Do Women Pay More for Credit? Evidence from Italy,"
NBER Working Papers
14202, National Bureau of Economic Research, Inc.
- Hasan, Iftekhar & Zazzara, Cristiano, 2006. "Pricing risky bank loans in the new Basel II environment," Research Discussion Papers 3/2006, Bank of Finland.
- Lawrence, Edward C & Arshadi, Nasser, 1995. "A Multinomial Logit Analysis of Problem Loan Resolution Choices in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 202-16, February.
- Long, Michael S., 1976. "Credit Screening System Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(02), pages 313-328, June.
- Ceyla Pazarbasioglu & Gudrun Johnsen & Paul Louis Ceriel Hilbers & Inci Ã–tker, 2005. "Assessing and Managing Rapid Credit Growth and the Role of Supervisory and Prudential Policies," IMF Working Papers 05/151, International Monetary Fund.
- Jesús Saurina & Carlos Trucharte, 2007. "An Assessment of Basel II Procyclicality in Mortgage Portfolios," Journal of Financial Services Research, Springer, vol. 32(1), pages 81-101, October.
- Robert B. Avery & Paul S. Calem & Glenn B. Canner, 2004. "Consumer credit scoring: do situational circumstances matter?," BIS Working Papers 146, Bank for International Settlements.
- David Feldman & Shulamith Gross, 2005. "Mortgage Default: Classification Trees Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 369-396, June.
- JosÃƒÂ© Luis Gallizo & Ramon Saladrigues & Manuel Salvador, 2010. "Financial Convergence in Transition Economies: EU Enlargement," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(3), pages 95-114, May.
- Reint Gropp & John Karl Scholz & Michelle White, 1996.
"Personal Bankruptcy and Credit Supply and Demand,"
NBER Working Papers
5653, National Bureau of Economic Research, Inc.
- Lee, Tian-Shyug & Chiu, Chih-Chou & Chou, Yu-Chao & Lu, Chi-Jie, 2006. "Mining the customer credit using classification and regression tree and multivariate adaptive regression splines," Computational Statistics & Data Analysis, Elsevier, vol. 50(4), pages 1113-1130, February.
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004.
"Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?,"
Working Paper Series
162, Sveriges Riksbank (Central Bank of Sweden).
- Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer, vol. 28(1), pages 43-75, October.
- Apilado, Vincent P. & Warner, Don C. & Dauten, Joel J., 1974. "Evaluative Techniques in Consumer Finance—Experimental Results and Policy Implications for Financial Institutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(02), pages 275-283, March.
- Gabrisch, Hurbert & Orlowski, Lucjan, 2009. "Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields," Working Papers 2009001, Sacred Heart University, John F. Welch College of Business.
- Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
When requesting a correction, please mention this item's handle: RePEc:wdi:papers:2011-1015. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laurie Gendron)
If references are entirely missing, you can add them using this form.