The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00103882" target="_blank" >RIV/00216224:14560/18:00103882 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.efs.econ.muni.cz" target="_blank" >http://www.efs.econ.muni.cz</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment

Popis výsledku v původním jazyce

Credit risk management is closely related to the bankruptcy prediction and even it was intensely investigated by the banking industry it is still at the forefront of researchers. There is a pressure on financial institutions to still improve their credit risk management system to eliminate credit risk which is one of the most significant financial risks in the banking industry. Many research studies, scientific articles and publications are still trying to find the best method to predict bankruptcy through different bankruptcy models. The reviews from the last years show that using only financial data is not sufficient to predict bankruptcy precisely and some of the researchers also include nonfinancial indicators to their models. The aim of this article is to find which of the nonfinancial indicators have the most significant prediction power to predict failure based on the nonfinancial data from a bank. We have investigated around 1000 companies from the segment small and medium-sized enterprises (SMEs), of which 100 failed during the period 2010 – 2016. The most important nonfinancial indicators from the credit risk point of view were found by using logistic regression.

Název v anglickém jazyce

The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment

Popis výsledku anglicky

Credit risk management is closely related to the bankruptcy prediction and even it was intensely investigated by the banking industry it is still at the forefront of researchers. There is a pressure on financial institutions to still improve their credit risk management system to eliminate credit risk which is one of the most significant financial risks in the banking industry. Many research studies, scientific articles and publications are still trying to find the best method to predict bankruptcy through different bankruptcy models. The reviews from the last years show that using only financial data is not sufficient to predict bankruptcy precisely and some of the researchers also include nonfinancial indicators to their models. The aim of this article is to find which of the nonfinancial indicators have the most significant prediction power to predict failure based on the nonfinancial data from a bank. We have investigated around 1000 companies from the segment small and medium-sized enterprises (SMEs), of which 100 failed during the period 2010 – 2016. The most important nonfinancial indicators from the credit risk point of view were found by using logistic regression.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 15th International Scientific conference European Financial Systems 2018

ISBN

9788021089808

ISSN

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e-ISSN

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Počet stran výsledku

11

Strana od-do

670-680

Název nakladatele

Masarykova Univerzita

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000462948800086