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Corporate Credit Risk Evaluation introduce the relative technical efficiency

Author: XiaoHongYan
Tutor: WangZongRun
School: Central South University
Course: Finance
Keywords: credit risk technical efficiency DEA model directional distance function
CLC: F273.1;F224
Type: Master's thesis
Year: 2010
Downloads: 14
Quote: 0
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Abstract


Although banks is facing more and more complexity risks, credit risk is still the most significant one that the banks should pay especial attention to. The Basel New Capital Accord requires banks to implement a robust framework for the evaluation of credit risk exposures that they face. Through effective management of credit risk exposure,banks not only support the viability and profitability of their own business but contribute to an efficient allocation of capital in the economy and to systemic stability.The evaluation of risks only according to the aspect of financial factors have been criticized by a lot of scholars, a good evaluation of credit risk should be composed of the financial and non-financial factors, the risk assessment system should absorb some non-financial factors which can reflect the debt-repay ability and wish of enterprises.This article tries to review the credit risk measurement models and methods, selecting the electronic industry altogether 96 enterprises as samples, using the data from the 2007 annual bulletin. Firstly, we obtain a measure of each firm’s technical efficiency using the direction functions base on DEA model, making improvement in the traditional parameter method computation; Secondly, make a combination of technical efficiency and financial factors through K- Average value cluster analytic method, Principal components analytic method, Stepwise regression analytic method, Entropy value method to inspect if the technical efficiency can distinguish the crisis enterprises and normal enterprises accurately, we divide all enterprises into three part, compare the result with the fact in 2009; Finally, do variance analysis for all factors to inspect the predictive ability, in order to find some information for banks to make correct decision, for inspecting the importance of efficiency in predicting business failure. The result indicates that technical efficiency have remarkable impact on enterprises’financial state, it displays big difference in different operation state of enterprises.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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