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Statistical risk assessment in bank lending to citizens

Author

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  • Irena Stefanova

Abstract

In this article, construction of a logistic regression scoring model is presented as a statistical tool to determine the likelihood a borrower to fall into a state of failure. The study is done with Bulgarian real data. The main stages of modeling regression equation are described: sampling data modeling;statistical analysis of the data in terms of quality and completeness; selection of an appropriate logistic regression equation; analysis and evaluation of the performance of the selected regression model. The used data include information about citizens who are borrowers in the banking sector in Bulgaria. The data were processed by means of the statistical software IBM SPSS Statistics v19.

Suggested Citation

  • Irena Stefanova, 2016. "Statistical risk assessment in bank lending to citizens," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 35-58.
    • Handle: RePEc:bas:econth:y:2016:i:1:p:35-58
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    File URL: https://etj.iki.bas.bg/storage/app/uploads/public/62a/2dc/052/62a2dc0526da4662539998.pdf
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    References listed on IDEAS

    as
    1. Steven Finlay, 2010. "Credit Scoring, Response Modelling and Insurance Rating," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-29898-9, December.
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    Cited by:

    1. Ekaterina Tzvetanova, 2019. "Adaptation of the Altman’s Corporate Insolvency Prediction Model – The Bulgarian Case," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 125-142.

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    More about this item

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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