Models for Granting and Tracking in Credit Risk Management
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.2370Keywords:
scoring de crédito, riesgo de crédito, probabilidad de incumplimiento, análisis discriminante, regresión logística, redes neuronales, credit scoring, credit risk, default probability, discriminant analysis, logistic regression, neural networksAbstract
This research shows the application and performance of three models for the classification of credit applicants: discriminant analysis, logistic regression and neural networks; techniques used by financial institutions for the calculation of credit scoring. The results show a better performance of the neural network model compared to logistic regression and discriminant analysis, achieving a success rate of 86.9\% in the classification. For the three models, fourteen variables were used to inform about applicant's socioeconomic characteristics and those of the credit operation. In the area of credit risk management, this result is relevant since it can be complemented by the calculation of default probability, the exposure at default and the recovery rate of the entity to establish the value of expected losses at both the individual level and the whole credit portfolio of the entity.
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