IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data

  • Evzen Kocenda


  • Martin Vojtek


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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Our checks indicate that this address may not be valid because: 404 Not Found ( [301 Moved Permanently]--> If this is indeed the case, please notify (Laurie Gendron)

Download Restriction: no

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1015.

in new window

Length: pages
Date of creation: 01 Apr 2011
Date of revision:
Handle: RePEc:wdi:papers:2011-1015
Contact details of provider: Postal: 724 E. University Ave, Wyly Hall 1st Flr, Ann Arbor MI 48109
Phone: 734 763-5020
Fax: 734 763-5850
Web page:

More information through EDIRC

References listed on IDEAS
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.:

as in new window
  1. Alexis Derviz & Jiří 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.
  2. 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.
  3. 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.
  4. 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.
  5. Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
  6. José 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.
  7. Ceyla Pazarbasioglu & Gudrun Johnsen & Paul Louis Ceriel Hilbers & Inci Ötker, 2005. "Assessing and Managing Rapid Credit Growth and the Role of Supervisory and Prudential Policies," IMF Working Papers 05/151, International Monetary Fund.
  8. Ranjula Bali Swain, 2007. "The demand and supply of credit for households," Applied Economics, Taylor & Francis Journals, vol. 39(21), pages 2681-2692.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.