IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Audit Sampling Microfinance Portfolio-at-Risk

Listed author(s):
  • Mark Schreiner

    (Washington University in St. Louis)

This paper describes a statistical sample design to measure portfolio- at-risk in microfinance. It applies the design to the microfinance portfolio of Banco do Nordeste in Brazil. Statistical audit sampling requires no special knowledge of statistics and is useful for due- diligence inspections by possible creditors, possible owners, or in preparation for the possible securitization of a portfolio. The sample design here stratifies by branch and by loan officer because errors in the record of arrears in the management-information system are likely to vary along these dimensions. Because errors may also vary by loan size and are more costly for large loans than for small loans, loans are sampled with probability proportional to size. This implicitly stratifies the sample by amount outstanding. Furthermore, the design samples all of the largest loans and all rescheduled loans. Given these strata, given a definition of portfolio-at-risk (for example, the outstanding balance of all loans with at least one payment at least one day overdue), given a desired upper bound on the accuracy of the estimated proportion of the portfolio-at-risk (for example, 2 percentage points), and given a desired precision for the confidence interval (for example, 90 percent), the paper tells (a) how many cases to draw; (b) how to estimate the proportion of the portfolio-at-risk; and (c) how to estimate the dollar amount of the portfolio-at-risk.

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:
Download Restriction: no

Paper provided by EconWPA in its series Computational Economics with number 0109001.

in new window

Date of creation: 05 Sep 2001
Handle: RePEc:wpa:wuwpco:0109001
Note: Type of Document - Adobe Acrobat 3.0; prepared on Windows 98; to print on Adobe Acrobat 3.0; pages: ; figures: Included in pdf file
Contact details of provider: Web page:

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.:

in new window

  1. Deirdre N. McCloskey & Stephen T. Ziliak, 1996. "The Standard Error of Regressions," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 97-114, March.
  2. McCloskey, Donald N, 1985. "The Loss Function Has Been Mislaid: The Rhetoric of Significance Tests," American Economic Review, American Economic Association, vol. 75(2), pages 201-205, May.
  3. Mark Schreiner, 2001. "A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia," Development and Comp Systems 0109005, EconWPA.
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:wpa:wuwpco:0109001. 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: (EconWPA)

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.