Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs

The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression and l...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Mohamed Habachi, Saâd Benbachir
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2019
Materias:	linear discriminant analysis bayesian approach probability of default (pd) irb foundation unexpected loss (ul) Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/52cbb9ffb62340f9a5f6acdd8e9a243e
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:52cbb9ffb62340f9a5f6acdd8e9a243e
record_format	dspace
spelling	oai:doaj.org-article:52cbb9ffb62340f9a5f6acdd8e9a243e2021-12-02T16:09:31ZCombination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs2331-197510.1080/23311975.2019.1685926https://doaj.org/article/52cbb9ffb62340f9a5f6acdd8e9a243e2019-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2019.1685926https://doaj.org/toc/2331-1975The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression and linear discriminant analysis to express the relationship between the default and the financial, managerial and organizational characteristics of the enterprise. In this paper, we will propose a new approach to combine the linear discriminant analysis and the expert opinion by using the Bayesian approach. Indeed, we will build a rating model based on linear discriminant analysis and we will use the bayesian logic to determine the posterior probability of default by rating class. The reliability of experts’ estimates depends on the information collection process. As a result, we have defined an information collection approach that allows to reduce the imprecision of the estimates by using the Delphi method. The empirical study uses a portfolio of SMEs from a Moroccan bank. This permitted the construction of the statistical rating model and the associated Bayesian models; and to compare the capital requirement determined by these models.Mohamed HabachiSaâd BenbachirTaylor & Francis Grouparticlelinear discriminant analysisbayesian approachprobability of default (pd)irb foundationunexpected loss (ul)BusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 6, Iss 1 (2019)
institution	DOAJ
collection	DOAJ
language	EN
topic	linear discriminant analysis bayesian approach probability of default (pd) irb foundation unexpected loss (ul) Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	linear discriminant analysis bayesian approach probability of default (pd) irb foundation unexpected loss (ul) Business HF5001-6182 Management. Industrial management HD28-70 Mohamed Habachi Saâd Benbachir Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
description	The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression and linear discriminant analysis to express the relationship between the default and the financial, managerial and organizational characteristics of the enterprise. In this paper, we will propose a new approach to combine the linear discriminant analysis and the expert opinion by using the Bayesian approach. Indeed, we will build a rating model based on linear discriminant analysis and we will use the bayesian logic to determine the posterior probability of default by rating class. The reliability of experts’ estimates depends on the information collection process. As a result, we have defined an information collection approach that allows to reduce the imprecision of the estimates by using the Delphi method. The empirical study uses a portfolio of SMEs from a Moroccan bank. This permitted the construction of the statistical rating model and the associated Bayesian models; and to compare the capital requirement determined by these models.
format	article
author	Mohamed Habachi Saâd Benbachir
author_facet	Mohamed Habachi Saâd Benbachir
author_sort	Mohamed Habachi
title	Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
title_short	Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
title_full	Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
title_fullStr	Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
title_full_unstemmed	Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs
title_sort	combination of linear discriminant analysis and expert opinion for the construction of credit rating models: the case of smes
publisher	Taylor & Francis Group
publishDate	2019
url	https://doaj.org/article/52cbb9ffb62340f9a5f6acdd8e9a243e
work_keys_str_mv	AT mohamedhabachi combinationoflineardiscriminantanalysisandexpertopinionfortheconstructionofcreditratingmodelsthecaseofsmes AT saadbenbachir combinationoflineardiscriminantanalysisandexpertopinionfortheconstructionofcreditratingmodelsthecaseofsmes
_version_	1718384409732710400

Combination of linear discriminant analysis and expert opinion for the construction of credit rating models: The case of SMEs

Ejemplares similares