Credit Scoring Modelling: A Micro–Macro Approach

Ana-Maria Sandica ()

No 45, Advances in Economic and Financial Research - DOFIN Working Paper Series from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB

Abstract: In order to reduce its capital requirement, banks use different credit risk models that are able to detect de difference between defaulter and a non-defaulter customer. In this paper I aim to make a comparison between these models and more to see which ones improve most when a macroeconomic variables is also introduce. What I would like to evidence in this paper is that more important than a particular model is the variables selection and the choice of a loss function that have to be minimized in order to treat the tradeoff between the profit considerations and best classification of customers.

Keywords: credit; risk; models (search for similar items in EconPapers)
Date: 2010-10
New Economics Papers: this item is included in nep-ban and nep-fmk
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http://www.dofin.ase.ro/Working%20papers/Sandica%2 ... ria.dissertation.pdf First version, 2010 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:cab:wpaefr:45

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