Since 2014
THE DEA METHOD IN MANAGING THE CREDIT RISK OF COMPANIES
Ekonomika
View Archive Info| Field | Value | |
| Title |
THE DEA METHOD IN MANAGING THE CREDIT RISK OF COMPANIES
DEA (DUOMENŲ APGAUBIMO ANALIZĖS) METODAS VALDANT BENDROVIŲ KREDITO RIZIKĄ |
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| Creator |
Feruś, Anna
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| Subject |
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credit scoring, credit risk, creditworthiness, Data Envelopment Analysis, technical efficiency — — — — |
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| Description |
The subject of the present paper is a new procedure of forecasting credit risk to companies in the Polish economic environment. What favors the suggested approach is the fact that in Poland, unlike in western countries, the DEA method has not yet been implemented in assessing credit risk faced by companies. The research described in the paper has been conducted on the basis of comparing the proposed DEA method with the currently used procedures, namely the point method, discriminative analysis and linear regression. To verify and compare the efficiency of various methods of company credit risk estimation, the efficiency of the classification of companies has also been examined. The study has involved an analysed sample (a teaching sample) as well as a test sample which was not taken in model building. To conclude, the DEA method facilitates forecasting financial problems, including bankruptcy of companies, in Polish economic conditions, and its efficiency is comparable to or even greater than that of the approaches implemented so far.
Šio straipsnio tema yra naujas veikimo būdas, numatantis bendrovių kredito riziką Lenkijos ekonominėje aplinkoje. Lenkijoje, kitaip nei kitose Vakarų šalyse, DEA metodas dar nėra įgyvendintas, kad bendrovės galėtų išgyventi kredito riziką. Tyrimas, aprašytas straipsnyje, buvo vykdomas remiantis siūlomo DEA metodo palyginimu su dabartinėmis naudojamomis procedūromis (diferencijuota analizė, linijinė regresija ir t. t.). Siekiant patikrinti ir palyginti įvairių bendrovių kredito rizikos vertinimo metodų veiksmingumą, taip pat buvo tirtas bendrovių klasifikavimo efektyvumas. Remiantis tyrimu galima išvada, kad DEA metodas palengvina finansinių problemų prognozę, įskaitant bendrovių bankrotus Lenkijos ekonominėje situacijoje, o jo efektyvumas yra panašus arba net didesnis nei iki šiol naudotų metodų. |
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| Publisher |
Vilniaus universiteto Ekonomikos fakultetas / Vilnius University Faculty of Economics
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| Contributor |
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| Date |
2015-01-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.zurnalai.vu.lt/ekonomika/article/view/5126
10.15388/Ekon.2009.0.5126 |
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| Source |
Ekonomika; Ekonomika 2009 85; 109-118
1392-1258 1392-1258 |
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| Language |
lit
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| Relation |
http://www.zurnalai.vu.lt/ekonomika/article/view/5126/3383
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| Rights |
Autorinės teisės (c) 2015 Ekonomika
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