Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/17941
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Abdou, HA | - |
dc.contributor.author | Mitra, S | - |
dc.contributor.author | Fry, J | - |
dc.contributor.author | Elamer, AA | - |
dc.date.accessioned | 2019-04-16T09:16:01Z | - |
dc.date.available | 2019-03-15 | - |
dc.date.available | 2019-04-16T09:16:01Z | - |
dc.date.issued | 2019-03-15 | - |
dc.identifier.citation | Abdou, H.A., Mitra, S., Fry, J. and Elamer, A.A. (2019) 'Would two-stage scoring models alleviate bank exposure to bad debt?', Expert Systems with Applications, 128, pp. 1-13. doi: 10.1016/j.eswa.2019.03.028. | en_US |
dc.identifier.issn | 0957-4174 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/17941 | - |
dc.description.abstract | © 2019 The Authors. The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic regression, multi-layer feed-forward neural network and probabilistic neural network are used in building credit scoring models for the Indian banking sector. Notably actual misclassification costs are analysed in preference to estimated misclassification costs. Our first-stage scoring models show that sophisticated credit scoring models, in particular probabilistic neural networks, can help to strengthen the decision-making processes by reducing default rates by over 14%. The second-stage of our analysis focuses upon the default cases and substantiates the significance of the timing of default. Moreover, our results reveal that State of residence, equated monthly instalment, net annual income, marital status and loan amount, are the most important predictive variables. The practical implications of this study are that our scoring models could help banks avoid high default rates, rising bad debts, shrinking cash flows and punitive cost-cutting measures. | - |
dc.format.extent | 1 - 13 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | credit | en_US |
dc.subject | Indian banks | en_US |
dc.subject | neural networks | en_US |
dc.subject | actual misclassification costs | en_US |
dc.subject | timing of default | en_US |
dc.title | Would two-stage scoring models alleviate bank exposure to bad debt? | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.eswa.2019.03.028 | - |
dc.relation.isPartOf | Expert Systems with Applications | - |
pubs.publication-status | Published | - |
pubs.volume | 128 | - |
dc.identifier.eissn | 1873-6793 | - |
Appears in Collections: | Brunel Business School Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText-AAM.pdf | Embargoed until 15-03-2021 | 8.6 MB | Adobe PDF | View/Open |
FullText.pdf | 1.19 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License