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Scoring Models and Credit Risk: The Case of Cooperative Banks in Poland

Author

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  • Krzysztof Kil

    (Department of Banking and Global Financial System, Cracow University of Economics, 31-510 Cracow, Poland)

  • Radosław Ciukaj

    (Department of Banking and Global Financial System, Cracow University of Economics, 31-510 Cracow, Poland)

  • Justyna Chrzanowska

    (Department of Banking and Global Financial System, Cracow University of Economics, 31-510 Cracow, Poland)

Abstract

The aim of the research presented in the article was to analyse the legitimacy of the use of scoring models in banking activities, together with the assessment of the effectiveness of this tool in reducing the high value of the NPL ratio in Polish cooperative banks on the example of banks belonging to the BPS S.A. association in the period between 2004 and 2020. We used a variety of research methods for this purpose including a depth review of the literature, analysis of statistical data regarding the sector of Polish cooperative banks, analysis of financial data of cooperative banks, construction of an econometric panel model, and the designing a questionnaire (which was later sent to the management board of selected cooperative banks). Our research confirmed the significant impact of the use of scoring models in lending activities on the value of the NPL ratio in cooperative banks. The analysed cooperative banks, which used the scoring models proposed by BIK in their lending activity, showed significantly lower values of the NPL ratio in each analysed year than banks that used other scoring models. Our study also confirmed the different direction of the impact of the models offered by BIK and individual scoring models on the value of the NPL ratio. We have also shown that the scoring models proposed by BIK have a statistically significant negative impact on the level of the NPL ratio, and the banks’ own scoring models have a statistically significant positive impact on the level of the NPL ratio.

Suggested Citation

  • Krzysztof Kil & Radosław Ciukaj & Justyna Chrzanowska, 2021. "Scoring Models and Credit Risk: The Case of Cooperative Banks in Poland," Risks, MDPI, vol. 9(7), pages 1-15, July.
    • Handle: RePEc:gam:jrisks:v:9:y:2021:i:7:p:132-:d:593296
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    1. Rafał Balina & Marta Idasz-Balina, 2021. "Drivers of Individual Credit Risk of Retail Customers—A Case Study on the Example of the Polish Cooperative Banking Sector," Risks, MDPI, vol. 9(12), pages 1-26, December.
    2. Cyprian Chwiałkowski & Adam Zydroń & Dariusz Kayzer, 2022. "Assessing the Impact of Selected Attributes on Dwelling Prices Using Ordinary Least Squares Regression and Geographically Weighted Regression: A Case Study in Poznań, Poland," Land, MDPI, vol. 12(1), pages 1-20, December.

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