Estimation of default probability for corporate entities in Republic of Serbia
In this paper a quantitative PD model development has been excercised according to the Basel Capital Accord standards. The modeling dataset is based on the financial statements information from the Republic of Serbia. The goal of the paper is to develop a credit scoring model capable of producing PD...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Economics institute, Belgrade
2016-01-01
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| Series: | Industrija |
| Subjects: | |
| Online Access: | http://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2016/0350-03731604087V.pdf |
| _version_ | 1818611963881586688 |
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| author | Vujnović Miloš Bogojević-Arsić Vesna Nikolić Nebojša |
| author_facet | Vujnović Miloš Bogojević-Arsić Vesna Nikolić Nebojša |
| author_sort | Vujnović Miloš |
| collection | DOAJ |
| description | In this paper a quantitative PD model development has been excercised according to the Basel Capital Accord standards. The modeling dataset is based on the financial statements information from the Republic of Serbia. The goal of the paper is to develop a credit scoring model capable of producing PD estimate with high predictive power on the sample of corporate entities. The modeling is based on 5 years of end-of-year financial statements data of available Serbian corporate entities. Weight of evidence (WOE) approach has been applied to quantitatively transform and prepare financial ratios. Correlation analysis has been utilized to reduce long list of variables and to remove highly interdependent variables from training and validation datasets. According to the best banking practice and academic literature, the final model is provided by using adjusted stepwise Logistic regression. The finally proposed model and its financial ratio constituents have been discussed and benchmarked against examples from relevant academic literature. |
| first_indexed | 2024-12-16T15:38:41Z |
| format | Article |
| id | doaj.art-5b6c26f9bb5c4b18a43d004d99dfba2c |
| institution | Directory Open Access Journal |
| issn | 0350-0373 2334-8526 |
| language | English |
| last_indexed | 2024-12-16T15:38:41Z |
| publishDate | 2016-01-01 |
| publisher | Economics institute, Belgrade |
| record_format | Article |
| series | Industrija |
| spelling | doaj.art-5b6c26f9bb5c4b18a43d004d99dfba2c2022-12-21T22:26:06ZengEconomics institute, BelgradeIndustrija0350-03732334-85262016-01-014448711810.5937/industrija44-110440350-03731604087VEstimation of default probability for corporate entities in Republic of SerbiaVujnović Miloš0Bogojević-Arsić Vesna1Nikolić Nebojša2JUBMES banka a.d. BelgradeUniversity of Belgrade, Faculty of Organizational Sciences, Belgrade, SerbiaUniCredit bank Srbija a.d.In this paper a quantitative PD model development has been excercised according to the Basel Capital Accord standards. The modeling dataset is based on the financial statements information from the Republic of Serbia. The goal of the paper is to develop a credit scoring model capable of producing PD estimate with high predictive power on the sample of corporate entities. The modeling is based on 5 years of end-of-year financial statements data of available Serbian corporate entities. Weight of evidence (WOE) approach has been applied to quantitatively transform and prepare financial ratios. Correlation analysis has been utilized to reduce long list of variables and to remove highly interdependent variables from training and validation datasets. According to the best banking practice and academic literature, the final model is provided by using adjusted stepwise Logistic regression. The finally proposed model and its financial ratio constituents have been discussed and benchmarked against examples from relevant academic literature.http://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2016/0350-03731604087V.pdfCredit riskProbability of defaultRatingScoring modelRating calibration |
| spellingShingle | Vujnović Miloš Bogojević-Arsić Vesna Nikolić Nebojša Estimation of default probability for corporate entities in Republic of Serbia Industrija Credit risk Probability of default Rating Scoring model Rating calibration |
| title | Estimation of default probability for corporate entities in Republic of Serbia |
| title_full | Estimation of default probability for corporate entities in Republic of Serbia |
| title_fullStr | Estimation of default probability for corporate entities in Republic of Serbia |
| title_full_unstemmed | Estimation of default probability for corporate entities in Republic of Serbia |
| title_short | Estimation of default probability for corporate entities in Republic of Serbia |
| title_sort | estimation of default probability for corporate entities in republic of serbia |
| topic | Credit risk Probability of default Rating Scoring model Rating calibration |
| url | http://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2016/0350-03731604087V.pdf |
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