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2 2014

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Analiza możliwości zastosowania metody DEA W modelach scoringowych

100%

Nowak A. K. , Matuszyk A.

Studia Ekonomiczne

2014

tom 186 cz 1

113-126

A clue for the research have become analysis made by A. Feruś in 2006, In which the author points the possibility of extending classical scoring models with the DEA method, allowing to predict a credit risk. In 2006, in the era of the Basel II implementation, the possibility of such an extension was not reflected in the practice of banks in Poland. But now, as a part of the Basel III implementation, it is reasonable to consider the possibility of their expantion, for example using the DEA . The study was carried out on the basis of 139 companies operating in Poland in 2010-2011 data and a comparison with their actual condition in 2012. Survey results both for 2010 and 2011 indicate a weaker prediction of the scoring models alone than scoring models with DEA In terms of: correct customers classification and the value of a R2 determination factor.

DEFAULT PREDICTION FOR SME USING DISCRIMINANT AND SURVIVAL MODELS, EVIDENCE FROM POLISH MARKET

100%

Ptak-Chmielewska A. , Matuszyk A.

Metody Ilościowe w Badaniach Ekonomicznych

2014

tom 15

nr 2

369-381

The aim of this paper was to compare the new technique (survival analysis) used in the credit risk models with the traditional one (discriminant analysis), analyse the strengths and weaknesses of both methods and their usage in practice. This study attempts to use macroeconomic data to build models and examine its impact to the prediction. For this purpose, a number of models was built on the basis of the sample of 1547 enterprises including 494 defaults. The time range covered by sample was 2002-2012.