BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Pickert Jens (Cracow University of Economics; FernUniversität in Hagen, Germany)
Tytuł
Risk Assessment of Unsecured Loans - Example of Entering a New Market
Ocena ryzyka niezabezpieczonych pożyczek - przykład wchodzenia na nowy rynek
Źródło
Central European Review of Economics and Management, 2017, vol. 1, nr 3, s. 45-65, bibliogr. 39 poz.
Słowa kluczowe
Pożyczki, Ocena ryzyka, Scoring
Loans, Risk assessment, Scoring
Uwagi
Klasyfikacja JEL: G21
streszcz., summ.
Abstrakt
Cel: Celem artykułu jest przedstawienie oceny ryzyka niezabezpieczonych pożyczek w teorii i praktyce. Metodyka badań: W pierwszej części artykułu zawarto przegląd literatury dotyczącej teorii niezabezpieczonych pożyczek oraz oceny ich ryzyka. W drugiej części, omówiony został proces oceny ryzyka w studium przypadku dotyczącym praktycznej aplikacji hipotetycznego wejścia przez szwajcarski bank na rynek niemiecki. Wnioski: Ocena ryzyka niezabezpieczonych pożyczek to zestandaryzowany proces, w którym główną role odgrywają modele scoringowe. Studium przypadku ukazuje, jak trudny jest ten proces w odniesieniu do działalności transgranicznych, na przykład, gdy bank wchodzi na nowy rynek w nowym kraju. Wartość artykułu: Artykuł wzbogaca dotychczasowy dorobek literaturowy dotyczący oceny ryzyka poprzez zastosowanie modeli scoringowych w działalności transgranicznej.(abstrakt oryginalny)

Aim: The aim of the paper is to show the risk assessment of unsecured loans in theory and practice. Design / Research methods: In the first part, the paper does literature review concerning the theory of unsecured loans and their risk assessment. In the second part, a case study discusses the risk assessment process as a practical application in the hypothetical case if a Swedish bank enters the German market. Conclusions / findings: The risk assessment of unsecured loans is a standardized process where scoring models make a crucial contribution. The case study shows how difficult that process is in the event of cross-border activities, for example, a bank enters a new market in a new country. Originality / value of the article: The paper contributes to existing literature on risk assessment by applying scoring models to the case of cross-border activities.(original abstract)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Abdou H.A., Pointon J. (2011), Credit scoring, statistical techniques and evaluation criteria. A review of the literature, "Intelligent Systems in Accounting, Finance and Management", vol. 18 no. 2-3, pp. 59-88.
  2. Baesens B., Van Gestel T., Viaene S., Stepanova M., Suykens J., Vanthienen J. (2003), Benchmarking state-of-the-art classification algorithms for credit scoring, "Journal of the Operational Research Society", vol. 54 no. 6, pp. 627-635.
  3. Banasik J., Crook J. (2007), Reject inference, augmentation, and sample selection, "European Journal of Operational Research", vol. 183 no. 3, pp. 1582-1594.
  4. Behr P., Güttler A. (2004), Interne und externe Ratings. Bedeutung, Entwicklung, Testverfahren (Internal and external rating. Importance, development, test procedure), Bankakademie-Verlag, Frankfurt am Main.
  5. Beyer H., Heinz L., Krabbe G., Lehnhoff J. (1993), Begriff und Arten des Kredits (Concept and types of credit), in: Das Kreditgeschäft, Gabler Verlag, Wiesbaden, pp. 9-40.
  6. Bisin A., Guaitoli D. (2004), Moral hazard and non-exclusive contracts, "RAND Journal of Economics", vol. 35 no. 2, pp. 306-328.
  7. Brown M., Zehnder C. (2006), Credit Reporting, Relationship Banking, and Loan Repayment, "Swiss National Bank Working Papers" 3.
  8. Crone S.F., Finlay S. (2012), Instance sampling in credit scoring. An empirical study of sample size and balancing, "International Journal of Forecasting", vol. 28 no. 1, pp. 224-238.
  9. Crook J.N., Edelman D.B., Thomas L.C. (2007), Recent developments in consumer credit risk assessment, "European Journal of Operational Research", vol. 183 no. 3, pp. 1447-1465.
  10. Desai V.S., Crook J.N., Overstreet G. A. (1996), A comparison of neural networks and linear scoring models in the credit union environment, "European Journal of Operational Research", vol. 95 no. 1, pp. 24-37.
  11. Dick C.D., Knobloch M., Al-Umaray K.S., Jaroszek L., Schröder M., Tiffe A. (2012), Studie zu Dispozinsen/Ratenkrediten - Forschungsvorhaben zur Bereitstellung wissenschaftlicher Entscheidungshilfe für das Bundesministerium für Ernährung, Landwirtschaft und Verbraucherschutz (BMELV) (Study on Overdraft Rates/Unsecured Loans - Research), "EconStor Research Reports".
  12. Ferretti F. (2015), Credit bureaus between risk-management, creditworthiness assessment and prudential supervision, "EUI Department of Law Research Paper", no.20. EUI, San Domenico di Fiesole.
  13. Finansinspektionen (2010), Den svenska bolånemarknaden och bankernas kreditgivning, http://www.fi.se/upload/43_Utredningar/20_Rapporter/2010/bolanerapport_16feb102ny.pdf [02.08.2016].
  14. Finlay S. (2008), The management of consumer credit, Palgrave Macmillan, London.
  15. Giannetti C., Jentzsch N., Spagnolo G. (2010), Information sharing and cross-border entry in European banking, "DIW Discussion Papers", no. 980, Berlin.
  16. Hand D.J. (2005), Good practice in retail credit scorecard assessment, "Journal of the Operational Research Society", vol. 56 no. 9, pp. 1109-1117.
  17. Hand D.J., Henley W.E. (1997), Statistical classification methods in consumer credit scoring. A review, "Journal of the Royal Statistical Society: Series A (Statistics in Society)", vol. 160 no. 3, pp. 523-541.
  18. Holst J. (2001), Management finanzieller Risiken - Risikomanagement im Finanzbereich (Management of financial risks - Risk management in the financial sector), in: Risikomanagement, ed. Götze U., Henselmann K., Mikus B., Springer-Verlag, Heidelberg, pp. 129-157.
  19. Horsch A., Schulte M. (2010), Wertorientierte Banksteuerung II: Risikomanagement (The value-oriented management of banks II: risk management), 4th edition, revised, Frankfurt School Verlag, Frankfurt am Main.
  20. Jentzsch N. (2007), Do we need a European directive for credit reporting, CESifo DICE Report, pp. 48-54.
  21. Knight F.H. (1964), Risk, uncertainty and profit, Reprints of Economic Classics, New York.
  22. Kumar A., Jones D.D., Hanna M.A., Soediono B., Bartocci A.C. (2009), Consumer credit, in: ed. Intergovernmental Panel on Climate Change, Encyclopedia of finance, Springer US, Boston, MA, pp. 66-76.
  23. Lessmann S., Baesens B., Seow H.V., Thomas L.C. (2015), Benchmarking state-of-the-art classification algorithms for credit scoring. An update of research, "European Journal of Operational Research", vol. 247 no. 1, pp. 124-136.
  24. Lewis M.K., Lundberg P., Silver M.S.L., Kling K.S., Kresge D.T., Summers B., Wilson N., Ekelid M., Lind H., Lundström S., Persson E., Marano W.A. (2000), Risk assessment and credit management, in: Risk behaviour and risk management in business life, ed. Green B., Cressy R., Delmar F., Eisenberg T., Howcroft B., Lewis M., Schoenmaker D., Shanteau J., Vivian R., Springer Netherlands, Dordrecht, pp. 37-121.
  25. Malik M., Thomas L.C. (2010), Modelling credit risk of portfolio of consumer loans, "Journal of the Operational Research Society", vol. 61 no. 3, pp. 411-420.
  26. Malthouse E.C. (1999), Ridge regression and direct marketing scoring models, "Journal of Interactive Marketing", vol. 13 no. 4, pp. 10-23.
  27. Malthouse E.C. (2001), Assessing the performance of direct marketing scoring models, "Journal of Interactive Marketing", vol. 15 no. 1, pp. 49-62.
  28. Mäntysaari P. (2010), Management of counterparty risk, in: The law of corporate finance. General principles and EU law, Springer, Berlin - Heidelberg, pp. 187-238.
  29. Martens D., Van Gestel T., De Backer M., Haesen R., Vanthienen J., Baesens B. (2010), Credit rating prediction using ant colony optimization, "Journal of the Operational Research Society", vol. 61 no. 4, pp. 561-573.
  30. Pagano M., Jappelli T. (1993), Information sharing in credit markets, "The Journal of Finance", vol. 48 no. 5, pp. 1693-1718.
  31. Schierenbeck H., Lister M., Kirmße S. (2008), Ertragsorientiertes Bankmanagement, Band 2: Risiko-Controlling und integrierte Rendite-/Risikosteuerung (Profit-oriented management of banks. Vol. 2: Risk-controlling and integrated return/risk control), Dr. Th. Gabler/GWV Fachverlage, Wiesbaden.
  32. Schröder M., Taeger J. (ed.) (2014), Scoring im Fokus. Ökonomische Bedeutung und rechtliche Rahmenbedingungen im internationalen Vergleich (Scoring focus. Economic importance and regulatory framework in an international comparison), BIS-Verlag der Carl von Ossietzky Universität Oldenburg, Oldenburg.
  33. Sinclair T.J. (1994), Passing judgement. Credit rating processes as regulatory mechanisms of governance in the emerging world order, "Review of International Political Economy", vol. 1 no. 1, pp. 133-159.
  34. Stiglitz J.E., Weiss A. (1981), Credit rationing in markets with imperfect information, "The American Economic Review", vol. 71 no. 3, pp. 393-410.
  35. Thomas L.C. (2010), Consumer finance. Challenges for operational research, "Journal of the Operational Research Society", vol. 61 no. 1, pp. 41-52.
  36. Thomas L.C., Banasik J., Crook J.N. (2001), Recalibrating scorecards, "Journal of Operational Research Society", vol. 52 no. 9, pp. 981-988.
  37. Thomas L.C., Oliver R.W., Hand D.J. (2005), A survey of the issues in consumer credit modelling research, "The Journal of the Operational Research Society", vol. 56 no. 9, pp. 1006-1015.
  38. United Nations Human Rights Office of the High Commissioner (1990), Convention on the Rights of the Child, http://www.ohchr.org/EN/ProfessionalInterest/Pages/CRC.aspx [23.05.2017].
  39. Verbraken T., Bravo C., Weber R., Baesens B. (2014), Development and application of consumer credit scoring models using profit-based classification measures, "European Journal of Operational Research", vol. 238 no. 2, pp. 505-513.
Cytowane przez
Pokaż
ISSN
2543-9472
Język
eng
URI / DOI
http://dx.doi.org/10.29015/cerem.449
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu