Evaluarea riscului de credit din perspectiva acordului Basel
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Date
2012
Authors
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Publisher
IEFS
Abstract
Riscul de credit reprezinta unul din principalele riscuri aferente activitatii bancare, cu impact direct asupra performantelor bancii. In prezent, bancile au la dispozitie o gama larga de optiuni pentru determinarea cerintelor de capital pentru acoperirea riscului de credit. Analiza de fata isi propune elaborarea unui model de scoring pentru cuantificarea probabilitatii de nerambursare avand la baza informatii cantitative si determinarea puterii de predictivitate a situatiilor de nerambursare, astfel am avut in vedere determinarea unor variabile calitative cu impact asupra capacitatii de rambursare a societatilor.
Credit risk is one of the main risks related to banking, with direct impact on bank performance. Currently, banks provide a wide range of options for determining capital requirements for covering credit risk. This study aims to develop a scoring model to quantify the probability of default based on quantitative information and determining power predictivitate default situations. I also had in view the impact of qualitative variables repayment capacity of companies.
Credit risk is one of the main risks related to banking, with direct impact on bank performance. Currently, banks provide a wide range of options for determining capital requirements for covering credit risk. This study aims to develop a scoring model to quantify the probability of default based on quantitative information and determining power predictivitate default situations. I also had in view the impact of qualitative variables repayment capacity of companies.
Description
Text: lb. rom. Abstrac: lb. rom., engl. Referinţe bibliografice : p. 359 (4 titl.).
Keywords
risc, credit, acordul Basel, model de scoring, probabilitate de nerambursare, model logit, variabile calitative, risc de credit, scoring model, probability of default, logit model, variable quality, risk
Citation
MANOLE, Tatiana, STEFIRTA, Natalia. Evaluarea riscului de credit din perspectiva acordului Basel. In: Economic growth in conditions of globalization = Creşterea economică în condiţiile globalizării : international scientific and practical conference, VII-th edition, october 18-19, 2012, Chisinau. Chisinau: IEFS, 2012, vol. II, pp. 356-360. ISBN 978-9975-4381-1-7.