MODELING CREDIT RISK THROUGH CREDIT SCORING

Authors:
  • Adrian Cantemir CALIN, email: cantemircalin@ipe.ro, Afiliation: Institute for Economic Forecasting
  • Oana Cristina POPOVICI, email: popovici.oana@yahoo.com, Afiliation: The Bucharest University of Economic Studies

Pages:
  • 99|110
Keywords: credit risk, credit scoring models, Z – score, O – score, failure models.
Abstract:
Credit risk governs all financial transactions and it is defined as the risk of suffering a loss due to certain shifts in the credit quality of a counterpart. Credit risk literature gravitates around two main modeling approaches: the structural approach and the reduced form approach. In addition to these perspectives, credit risk assessment has been conducted through a series of techniques such as credit scoring models, which form the traditional approach. This paper examines the evolution of these initiatives.

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