The Role of Nonfinancial Indicators in the Process of Credit
Risk Assessment

D 2018

The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment

SPONEROVÁ, Martina, Miroslav SVOBODA a Miroslav SPONER

Základní údaje

Originální název

The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment

Autoři

SPONEROVÁ, Martina (203 Česká republika, garant, domácí), Miroslav SVOBODA (203 Česká republika, domácí) a Miroslav SPONER (203 Česká republika)

Vydání

Brno, Proceedings of the 15th International Scientific conference European Financial Systems 2018, od s. 670-680, 11 s. 2018

Nakladatel

Masarykova Univerzita

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Kód RIV

RIV/00216224:14560/18:00103882

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8980-8

UT WoS

000462948800086

Klíčová slova anglicky

credit risk; bankruptcy prediction; SME; nonfinancial indicator

Změněno: 24. 4. 2019 14:38, Mgr. Daniela Marcollová

Anotace

V originále

Credit risk management is closely related to the bankruptcy prediction and even it was intensely investigated by the banking industry it is still at the forefront of researchers. There is a pressure on financial institutions to still improve their credit risk management system to eliminate credit risk which is one of the most significant financial risks in the banking industry. Many research studies, scientific articles and publications are still trying to find the best method to predict bankruptcy through different bankruptcy models. The reviews from the last years show that using only financial data is not sufficient to predict bankruptcy precisely and some of the researchers also include nonfinancial indicators to their models. The aim of this article is to find which of the nonfinancial indicators have the most significant prediction power to predict failure based on the nonfinancial data from a bank. We have investigated around 1000 companies from the segment small and medium-sized enterprises (SMEs), of which 100 failed during the period 2010 – 2016. The most important nonfinancial indicators from the credit risk point of view were found by using logistic regression.

Návaznosti

MUNI/A/1092/2017, interní kód MU

Název: Finanční stabilita a ekonomický vývoj (Akronym: FIN2018)

Investor: Masarykova univerzita, Finanční stabilita a ekonomický vývoj, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

SPONEROVÁ, Martina, Miroslav SVOBODA a Miroslav SPONER. The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment. In Nešleha Josef, Hampl Filip, Svoboda Miroslav. Proceedings of the 15th International Scientific conference European Financial Systems 2018. Brno: Masarykova Univerzita, 2018, s. 670-680. ISBN 978-80-210-8980-8.

@inproceedings{1443557,
   author = {Sponerová, Martina and Svoboda, Miroslav and Sponer, Miroslav},
   address = {Brno},
   booktitle = {Proceedings of the 15th International Scientific conference European Financial Systems 2018},
   editor = {Nešleha Josef, Hampl Filip, Svoboda Miroslav},
   keywords = {credit risk; bankruptcy prediction; SME; nonfinancial indicator},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8980-8},
   pages = {670-680},
   publisher = {Masarykova Univerzita},
   title = {The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment},
   url = {http://www.efs.econ.muni.cz},
   year = {2018}
}

TY  - JOUR
ID  - 1443557
AU  - Sponerová, Martina - Svoboda, Miroslav - Sponer, Miroslav
PY  - 2018
TI  - The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment
PB  - Masarykova Univerzita
CY  - Brno
SN  - 9788021089808
KW  - credit risk
KW  - bankruptcy prediction
KW  - SME
KW  - nonfinancial indicator
UR  - http://www.efs.econ.muni.cz
L2  - http://www.efs.econ.muni.cz
N2  - Credit risk management is closely related to the bankruptcy prediction and even it was intensely investigated by the banking industry it is still at the forefront of researchers. There is a pressure on financial institutions to still improve their credit risk management system to eliminate credit risk which is one of the most significant financial risks in the banking industry. Many research studies, scientific articles and publications are still trying to find the best method to predict bankruptcy through different bankruptcy models. The reviews from the last years show that using only financial data is not sufficient to predict bankruptcy precisely and some of the researchers also include nonfinancial indicators to their models. The aim of this article is to find which of the nonfinancial indicators have the most significant prediction power to predict failure based on the nonfinancial data from a bank. We have investigated around 1000 companies from the segment small and medium-sized enterprises (SMEs), of which 100 failed during the period 2010 – 2016. The most important nonfinancial indicators from the credit risk point of view were found by using logistic regression.
ER  -

SPONEROVÁ, Martina, Miroslav SVOBODA a Miroslav SPONER. The Role of Nonfinancial Indicators in the Process of Credit Risk Assessment. In Nešleha Josef, Hampl Filip, Svoboda Miroslav. \textit{Proceedings of the 15th International Scientific conference European Financial Systems 2018}. Brno: Masarykova Univerzita, 2018, s.~670-680. ISBN~978-80-210-8980-8.

Podrobný výpis o publikaci