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A hybrid model for estimating the probability of default of corporate customers | ||
Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
مقاله 10، دوره 9، شماره 3، مهر 2016، صفحه 651-673 اصل مقاله (842.79 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22059/ijms.2016.57714 | ||
نویسندگان | ||
Reza Raei1؛ Mahdi Saeidi Kousha* 1؛ Saeid Fallahpour1؛ Mohammad Fadaeinejad2 | ||
1Faculty of Management, University of Tehran | ||
2Faculty of Management and Accounting, Shahid Beheshti Universit | ||
چکیده | ||
Credit risk estimation is a key determinant for the success of financial institutions. The aim of this paper is presenting a new hybrid model for estimating the probability of default of corporate customers in a commercial bank. This hybrid model is developed as a combination of Logit model and Neural Network to benefit from the advantages of both linear and non-linear models. For model verification, this study uses an experimental dataset collected from the companies listed in Tehran Stock Exchange for the period of 2008–2014. The estimation sample included 175 companies, 50 of which were considered for model testing. Stepwise and Swapwise least square methods were used for variable selection. Experimental results demonstrate that the proposed hybrid model for credit rating classification outperform the Logit model and Neural Network. Considering the available literature review, the significant variables were gross profit to sale, retained earnings to total asset, fixed asset to total asset and interest to total debt, gross profit to asset, operational profit to sale, and EBIT to sale. | ||
کلیدواژهها | ||
credit risk؛ Default؛ Hybrid Model؛ Logit Model؛ neural network | ||
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