Matrix Sequential Hybrid Credit Scorecard Based on Logistic Regression and Clustering

Document Type: Research Paper

Author

Faculty of Management, Kharazmi University, Tehran, Iran

Abstract

The Basel II Accord pointed out benefits of credit risk management through internal models to estimate Probability of Default (PD). Banks use default predictions to estimate the loan applicants’ PD. However, in practice, PD is not useful and banks applied credit scorecards for their decision making process. Also the competitive pressures in lending industry forced banks to use profit scorecards, which show the profitability of customers. Applying these scorecards together makes the loan decision making process for banks more confusing. This paper has an obvious and clean solution for facilitating the confusion of loan decision making process by combining the credit and profit scorecards through introducing a matrix sequential hybrid credit scorecard. The applicability of the introduced matrix sequential hybrid scorecard results are shown using data from an Iranian bank.

Keywords

Main Subjects


Article Title [Persian]

معرفی کارت امتیاز اعتبارسنجی مرحله ایی ترکیبی مبتنی بر رگرسیون لجستیک و خوشه بندی

Author [Persian]

  • سیدمهدی سادات رسول
دانشکده مدیریت، دانشگاه خوارزمی، تهران، ایران
Abstract [Persian]

طبق پیمان بازل II، بانک ها می بایست با داده های خود اقدام به محاسبه احتمال نکول تسهیلات برای مشتریان خود نمایند. داده های داخلی بانک ها یکی از منابع محاسبه احتمال نکول می باشد و بانک ها اغلب از این داده ها برای پیش بینی احتمال نکول استفاده می نمایند. لکن در واقعیت بانک ها قابلیت استفاده عملی از احتمال نکول را نداشته و به کارت های امتیاز اعتباری روی آورده اند. به دلیل فشارهای رقابتی کارت های امتیازی اعتباری به تنهایی برای سنجش تصمیم گیری اعطاء یا عدم اعطای تسهیلات کافی نمی باشد و بانک ها از کارت های امتیاز منافع کسب شده هر مشتری که امتیاز سودآوری را محاسبه می نماید نیز در تصمیم گیری استفاده می نماید. استفاده از این دو کارت برای یک تصمیم، تصمیم گیری نهایی را برای بانک ها پیچیده و مبهم می نماید. این مقاله با ترکیب این دو کارت امتیازی، تصمیم گیری اعطای تسهیلات را با رویکردی نوین معرفی نموده است. قابلیت استفاده از روش ارایه شده با داده های یک بانک ایرانی مورد آزمون قرار گرفته و نتایج بسیار مناسبی گزارش شده است.

Keywords [Persian]

  • رتبه بندی اعتباری
  • صنعت بانکداری
  • کارت امتیاز اعتباری
  • رتبه بندی سودآوری
  • کارت های امتیازماتریسی
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