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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Estimation
Of Customer Default Based On Behavioural Variables |
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Authors: |
Nora Felfoeldi-Szuecs |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European Council for Modeling and
Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Nora Felfoeldi-Szuecs
(2016). Estimation Of Customer Default Based On Behavioural
Variables, ECMS 2016 Proceedings edited by: Thorsten Claus, Frank Herrmann,
Michael Manitz, Oliver Rose
European Council for Modeling and Simulation. doi:10.7148/2016-0192 |
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DOI: |
http://dx.doi.org/10.7148/2016-0192 |
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Abstract: |
The paper focuses on the estimation
of customer default amoung the small and medium
enterprises (SME). Based on the literature on credit scoring modelswebuild a logistic regression model
which is widely used by commercial banks. Our models predicting
customers’ default on their payables to suppliers are estimated on a sample
of a customer portfolio of 905 SME clients. Based on the analysis the
non-financial, behavioural variables estimate
better customer default than the financial ratios. Our models perform weaker
than the usual performance level of scoring models in commercial bank. This
result assumes that defaulting on a payable to suppliers is an early signal
of possible financial difficulties. |
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