Arbeitspapier
Modelling the credit risk of the Hungarian SME sector
In banking practice, quantifying the probability of default is one of the most important elements of the lending decision, therefore it is also vital from a financial stability perspective. The aim of our research was to model the probability of default as precisely as possible in the case of micro, small and medium-sized enterprises. By linking the data from the Central Credit Information System (KHR) and companies' financial statements, a database was created that covers all the SMEs with loan contract, thus we were able to examine credit risk based on a uniquely large group of enterprises. In our research, we created models that enabled us to produce estimates based on certain corporate features about the probability of default of micro, small and medium-sized enterprises. Our analysis revealed that modelling these size categories separately and managing non-linear effects in the case of several variables are especially important. In addition, the impact of the macroeconomic environment on credit risk also proved to be important in the fitting of our estimates.
- Sprache
-
Englisch
- Erschienen in
-
Series: MNB Occasional Papers ; No. 123
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
Financial Institutions and Services: General
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
SME
credit risk
credit register
logit model
probability of default
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Banai, Ádám
Körmendi, Gyöngyi
Lang, Péter
Vágó, Nikolett
- Ereignis
-
Veröffentlichung
- (wer)
-
Magyar Nemzeti Bank
- (wo)
-
Budapest
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Banai, Ádám
- Körmendi, Gyöngyi
- Lang, Péter
- Vágó, Nikolett
- Magyar Nemzeti Bank
Entstanden
- 2016
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