A Proposed Credit Scoring Model for Loan Default Arobability: a Vietnamese bank case

DOI: 10.5176/2251-2012_QQE15.32

Authors: Thanh Duong, Viet Tran and Quyen Ho

Abstract:

Credit risk management is developed in the world but has just been popular in Vietnam. In this paper, we concentrate on the internal models to measure credit risk, and specifically on the approach to one of their important components: the probability of default. Generally, the probability of default is the likelihood that a company or person has not be able to pay on his loan or his dept. Estimating default probability was, is and will always be a hot topic that will attract attention due to its importance and effects. Banks need to develop early warning systems that can help prevent or stop the default of the company and facilitate the selection of firms to collaborate with or invest in. We then present a credit scoring model to estimate the probability of default for the customer credit in Vietnamese DongABank by statistical analysis methods.

Keywords: Credit Scoring; Probability of Default; Logistic regression; Chi-Square test.