Models of Credit Risk for Emerging Markets
Sammanfattning
The problem of accurate credit risk evaluation is well-known in the world of
financial markets. This paper develops a series of credit risk models using
multiple discriminant analysis (the MDA) for selected emerging markets within
which Financial company A (FcA) provides credit. This paper investigates the
discriminating power of various explanatory variables to distinguish between
good and bad credit risks within each selected market in order to develop new
market-specific credit scoring models for FcA. A comparative analysis of the
classification accuracy of these new models and the existing model used by
FcA is conducted. This analysis shows that the new models are robust and
classify credit risks significantly more accurately than the existing model.
Examinationsnivå
Student essay
Universitet
Göteborg University. School of Business, Economics and Law
Samlingar
Fil(er)
Datum
2006Författare
Gusev, Pavel
Nyckelord
Credit Risk
Emerging Markets
Credit Scoring Model
Multiple Discriminant Analysis
Z-Score Model
Serie/rapportnr.
Masters Thesis, nr 2005:1
Språk
en