Credit risk assessment: a comparison of the performances of the linear discriminant analysis and the logistic regression

Évaluation du risque de crédit des PME: Une approche comparative des performances de l'analyse discriminante linéaire et de la régression logistique

Aldo Lévy () and Riad Baha
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Aldo Lévy: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]
Riad Baha: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]

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Abstract: The prediction of credit risk and borrowers solvency has been widely discussed in the financial and accounting literature whatever the international financial accounting standards (Levy et al., 2016). Various methods are used to build prediction models and can be adapted according to the country, the sector of activity and the nature of the data used. These methods have shown their effectiveness compared to traditional financial analysis for companies classification. This paper aims to compare the classification performances of the logistic regression (LR) model with those of the linear discriminant analysis (LDA) one on a SMEs sample belonging to the Algerian private sector.

Keywords: risque de crédit; défaillance des entreprises; performances; classification; validation; analyse discriminante linéaire; régression logistique credit risk solvency of borrowers SMEs failure performances classification linear discriminant analysis LDA logistic regression; régression logistique credit risk; solvency of borrowers; SMEs failure; linear discriminant analysis; LDA; logistic regression (search for similar items in EconPapers)
Date: 2021
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Published in International Journal of Entrepreneurship and Small Business, 2021, 42 (1/2), pp.169-186. ⟨10.1504/IJESB.2021.112265⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04553429

DOI: 10.1504/IJESB.2021.112265

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