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Credit Scoring Modelling: A Micro–Macro Approach

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  • Ana-Maria Sandica

Abstract

In order to reduce its capital requirement, banks use different credit risk models that are able to detect de difference between defaulter and a non-defaulter customer. In this paper I aim to make a comparison between these models and more to see which ones improve most when a macroeconomic variables is also introduce. What I would like to evidence in this paper is that more important than a particular model is the variables selection and the choice of a loss function that have to be minimized in order to treat the tradeoff between the profit considerations and best classification of customers.

Suggested Citation

  • Ana-Maria Sandica, 2010. "Credit Scoring Modelling: A Micro–Macro Approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 45, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    • Handle: RePEc:cab:wpaefr:45
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    Keywords

    credit risk models;

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