MODELING CREDIT RISK THROUGH CREDIT SCORING
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Authors:
• Adrian Cantemir CALIN, SR III, PhD., email: cantemircalin@ipe.ro, Afiliation: Institute for Economic Forecasting
• Oana Cristina POPOVICI, PhD., email: popovici.oana@yahoo.com, Afiliation: The Bucharest University of Economic StudiesPages:
• 105|116 -
Keywords: credit risk, credit scoring models, Z – score, O – score, failure models
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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 thereduced 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.
