Decision Support System for Credit Risk Management: An Empirical Study

被引：0

作者：

Bilginci, Mehmet Resul ^{[1
]}

Kaya, Gamze Ogcu ^{[2
]}

Turkyilmaz, Ali ^{[3
]}

机构：

[1] Yapi Kredi Bank, Istanbul, Turkey

[2] Sampoerna Univ, Jakarta, Indonesia

[3] Nazarbayev Univ, Sch Engn, Astana, Kazakhstan

来源：

INTERNATIONAL JOURNAL OF INFORMATION SYSTEMS IN THE SERVICE SECTOR | 2019年 / 11卷 / 02期

关键词：

Credit Risk; Credit Scorecard Model; Gini Coefficient; Logistic Regression; ROC Curve; FINANCIAL RATIOS; MODEL;

D O I：

10.4018/IJISSS.2019040102

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Risk is an integrated part of the banking functions, which cannot be eliminated completely but it can be reduced by employing appropriate techniques. Credit processing is one of the core functions in the banking system, and its performance is closely related to management of the risks. The aim of this article is to develop a credit scorecard model which can be used as decision support system. A logistic regression with stepwise selection method is used to estimate the model parameters. The data that is used to construct the credit scorecard model is obtained from one of the pioneering banks in Turkish Banking Sector. The performance of the developed model is tested using statistical metrics including Receiver Operator Characteristic (ROC) curve and Gini statistics. The result reveals that the model performs well and it can be used as a decision support system for managing the credit risk by managers of the banks.

引用

页码：18 / 31

页数：14

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