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Journal of Advanced Statistics
JAS > Volume 4, Number 4, December 2019

Modelling Risk of Non-Repayment of Bank Credit by the Method of Scoring

Download PDF  (1150.7 KB)PP. 35-49,  Pub. Date:December 12, 2019
DOI: 10.22606/jas.2019.44002

Author(s)
Jimbo Henri Claver, Ngongo Isidore Séraphin, Dongmo Tsamo Arthur, Andjiga Gabriel Nicolas, Etoua Rémy Magloire
Affiliation(s)
Department of Applied Mathematics and Statistics, AUAF & Waseda University, Tokyo, Japan
Department of Mathematics, ENS, University of Yaoundé I , Cameroon
Department of Mathematics, University of Yaoundé 1, Cameroon
Department of Mathematics, University of Yaoundé 1, Cameroon
Department of Mathematics, Higher National Polytechnic School. Yaoundé 1, Cameroon
Abstract
The risk of non-repayment of bank credit is a variable that banks are seeking to master in order to save their profitability and to protect themselves against bankruptcy. In this article, we have shown how to model the risk using tools for the decision making purposes using mathematical techniques of the method of Scoring. We construct a score function capable of minimising the probability that a client may not repay the credit at the fixed date. The construction of such function is done through Fischer discriminant analysis and the logistic regression. The methodology used inthis work relies on statistical analysis techniques and the probability of Scoring. Finally we applied our approach to a given company and found that the risk of non-repayment of the bank credit depends mainly on the loans ratios, global cash flow, global indebtedness, capital funds and net result, capital funds.
Keywords
Banks, risks of non-repayment, method of scoring, Fischer discriminant analysis, logistic regression, score function.
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