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The quality and accuracy of bank internal rating model. A case study from Czech Republic

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dc.title The quality and accuracy of bank internal rating model. A case study from Czech Republic en
dc.contributor.author Belás, Jaroslav
dc.contributor.author Cipovová, Eva
dc.relation.ispartof International Journal of Mathematics and Computers in Simulation
dc.identifier.issn 1998-0159 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2013
utb.relation.volume 7
utb.relation.issue 2
dc.citation.spage 206
dc.citation.epage 214
dc.type article
dc.language.iso en
dc.publisher North Atlantic University Union (NAUN) en
dc.relation.uri http://www.naun.org/multimedia/NAUN/mcs/2002-114.pdf
dc.subject Credit rating en
dc.subject Experimental verification of model quality en
dc.subject Quality and accuracy of internal rating model en
dc.description.abstract Credit risk is one of the most important risk in commercial banking. The commercial bank uses a range of methods and procedures for credit risk management. To access the credit quality of the clients, internal rating models are used by commercial banks. In this article we define theoretical aspects of quality of internal rating model and evaluate potential risks of rating process. In the case study the accuracy of a concrete rating model has been experimentally confirmed, which is used by commercial bank in the Czech Republic for the segment of small and medium-sized enterprises. Internal rating models represent banks' effort to assess objectively the credit quality of the borrower. Previous experiences from banking sector show that this process is necessary to optimize by adding other activities because the quality of this rating models is limited. Aim of our experiment was to verify the quality of concrete internal rating model, which is used by concrete bank in Czech Republic to assess the quality of borrowers in the small and medium sized-enterprises. Results of our experiment are surprising. The model evaluates an excellent company as a negative subject. The model is less sensitive on significant changes in key financial indicators to determine the loan repayment. Our experiment has been proved the fact, that the most important impact on the level of company's final rating has the financial parameter - profit. Other parameters like assets, revenues and long-term liabilities have demonstrated only minimal impact on the level of company's final rating. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1003269
utb.identifier.obdid 43870116
utb.identifier.scopus 2-s2.0-84877985721
utb.source j-scopus
dc.date.accessioned 2013-07-27T14:54:35Z
dc.date.available 2013-07-27T14:54:35Z
utb.contributor.internalauthor Belás, Jaroslav
utb.contributor.internalauthor Cipovová, Eva
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