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Estimating The Credit Risk Score For Non Bank Stock Exchange Intermediaries In The Eventuality Of Changeover To Euro Currency

Author

Listed:
  • BARANGA, Laurentiu Paul

    (Faculty of Finance and Banking, Bucharest University of Economic Studies, Bucharest, Romania.)

  • PANAIT, Iulian

    (Faculty of Economics, Hyperion University, Bucharest, Romania.)

Abstract

In this paper we build a system for determining the credit risk score and to estimate the probability of default for Romanian non-bank stock exchange intermediaries using principal component analysis applied on a selected set of financial and prudential indicators obtained from their financial statements and capital adequacy reports. Our approach is useful when dealing with non-listed undertakings, for which the probability of default cannot be derived from market prices. In addition, it can be replicated for the same type of companies in other jurisdictions and can be adapted to other type of non-bank financial intermediaries. The method could be especially useful for central counterparties. Regarding the eventuality of changeover to euro, this will have an insignificant impact on the financial credit risk score of Romanian non-bank intermediaries.

Suggested Citation

  • BARANGA, Laurentiu Paul & PANAIT, Iulian, 2018. "Estimating The Credit Risk Score For Non Bank Stock Exchange Intermediaries In The Eventuality Of Changeover To Euro Currency," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(4), pages 25-40, December.
    • Handle: RePEc:vls:finstu:v:22:y:2018:i:4:p:25-40
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    References listed on IDEAS

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    Cited by:

    1. Razvan Sorin Șerbu & Laurentiu Paul Baranga & Ovidiu Gheorghe Petru, 2021. "Creditworthiness Assessment for Credit Institutions and for the Risk Associated with Excessive Leverage toward Sustainable Performance," Sustainability, MDPI, vol. 13(21), pages 1-16, October.
    2. Baranga Laurentiu Paul & Zalinca Iulian, 2020. "Determination by the Settlement Systems of the Required Collateral Imposed to Participants," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 14(1), pages 925-939, July.

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    More about this item

    Keywords

    credit risk scoring; default probability; principal component analysis;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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