Author/Authors :
Ameli, Maryam Rasht Branch - Islamic Azad University , Aghajan Nashtaei, Reza Department of Business management - Rasht Branch - Islamic Azad University
Abstract :
Nowadays, one of the most important topics in risk management of
banks, financial, and credit institutions is credit risk management. In
this research, the researchers used survival analytic methods for credit
risk modeling in terms of the conditional distribution function of default
time. As a practical task, the authors considered the reward credit portfolio
of Tose'e Ta'avon Bank of Guilan Province and estimate the bank’s
probability of default based on the survival analysis method. In order
to analyze and verify the research hypothesis, firstly, the researcher estimated
the survival analysis, survival function, and then the value of
the probability of default function by three parametric, semi-parametric
(proportional hazards model), and non-parametric methods. Finally, the
author compared these three methods by using the ROC method. In
order to analyze data, SPSS, SAS, R, and Minitab softwares were used.
The results revealed that the parametric model was better and more suitable
than the other models. After the parametric model, it was observed
that, the semi-parametric model (proportional hazards model) and then
the non-parametric model proved to be the best models. The results of
this research suggest using rating or credit score in banks, because, in
addition to the proper management of allocation of facility to customers,
using a credit score as an explanatory variable can result in more efficient
and more accurate estimations of default probability.
