The Application of Data Envelopment Analysis Method in Managing Companies' Credit Risk

• Autorzy: Anna Feruś
• Języki publikacji: EN

Abstrakty

EN

The subject of the present article is a new procedure forecasting credit risk of companies in Polish economic environment. What favors the suggested approach is the fact that in Poland, unlike in western countries, DEA method has not yet been implemented in order to assess credit risk that companies face. The research described in the article has been conducted on the basis of comparison of suggested DEA method with currently used procedures, namely point method, discriminative analysis and linear regression. In order to verify and compare the efficiency of various methods of company credit risk estimation the efficiency of classification of companies has also been examined. The study has involved an analyzed sample (a teaching sample) as well as a test sample which was not taken in model building. Considering the research, it can be concluded that DEA method facilitates forecasting financial problems, including bankruptcy of companies in Polish economic conditions, and its efficiency is comparable or even greater than approaches implemented so far. The DEA methodology was found to be successful within the credit evaluation process, however it might not be used as a stand alone tool for this purpose, but it can offer valuable insight to the loan officer or the analyst facing the credit approval decision. (original abstract)

Słowa kluczowe

EN

Credit scoring; Credit risk; Credit capacity; Data Envelopment Analysis (DEA)

PL

Skoring kredytowy; Ryzyko kredytowe; Zdolność kredytowa; Metoda DEA (analiza obwiedni danych)

• Czasopismo: Business and Economic Horizons
• Rocznik: 2014
• Numer: vol. 10, iss. 1
• Strony: 60--69

Twórcy

autor

Anna Feruś

• Rzeszow University of Technology, Poland

Bibliografia

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Identyfikatory

DOI

10.15208/beh.2014.05