How is credit scoring used to predict default in China?

Ha Thu Nguyen

No 2015-1, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: In this paper, we carry out a review of literature for both traditional and sophisticated credit assessment techniques, with a particular focus on credit scoring which is broadly used as a costeffective credit risk management tool. The objective of the paper is to present a set-up of an application credit-scoring model and to estimate such a model using an auto loan data-set of one of the largest automobile manufacturers in China. The logistic regression approach, which is widely used in credit scoring, is employed to construct our scorecard. A detailed step-by-step development process is provided, as are discussions about specific modeling issues. The paper finally shows that “married”, “house owner”, “female”, age in years, “working in public institutions, foreign, or joint venture companies”, down payment rate, and maximum months on book of current accounts negatively impact the probability of default.

Keywords: Credit Risk; Credit Scoring; Auto Loans; Logistic Regression. (search for similar items in EconPapers)
JEL-codes: C51 C52 G3 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2015
New Economics Papers: this item is included in nep-ban, nep-cna, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2015-1

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