Clustering of Borrowers at the Level of Defaults: Rating Approach (Regions of the Siberian Federal District)

M. Petukhova
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M. Petukhova: Institute of Economics and Industrial Engineering SB RAS (IEIE SB RAS), Novosibirsk, Russia

Journal of the New Economic Association, 2012, vol. 16, issue 4, 71-102

Abstract: This article suggested method of probability estimation of defaults in the retail. This method is based on the clustering of borrowers depending on the level of credit risk and satisfying international standards of credit risk. Performed testing methodology on the example of some regions of the Siberian Federal District, identified the essential features of the behavior of borrowers in the regions. Calculated the ratings of the regions in terms of probability of defaults on consumer loans (retail).

Keywords: assessing the creditworthiness of borrowers; consumer credit (retail); probability of default; regions of Siberian Federal District; rating models; clustering; decision tree; regional features of borrowers' behavior (search for similar items in EconPapers)
JEL-codes: G21 G32 O18 P4 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2012:i:16:p:71-102

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