Developing a hybrid credit scoring model to assess credit risk in light of Basel II accords : case of a Moroccan development bank

مقدم أطروحة جامعية

Lamrani, Hafsa

مشرف أطروحة جامعية

Aouam, Tariq

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2008

الملخص الإنجليزي

This thesis aims to evaluate and assess credit risk of potential borrowers by developing a credit scoring model.

It presents a two-stage scoring model.

In the first stage, the Analytical Hierarchy Process (AHP) is run for a representative benchmark in order to decide about the acceptance of a potential borrower.

In the second stage, the discriminant analysis is applied on the accepted borrower in order to score it, which helps classifying it either as solvent or insolvent.

The consistency of this AHP/Discriminant analysis evaluation is tested statistically using a validation sample.

In fact, the resuhs show that using AHP gives a bit more accurate decision about the solvency of a borrower than does the discriminant analysis in the sense that this latter may give wrong classification (classifying insolvent borrower as solvent).

This can show the limitation of using only a black box statistical tool and lead to the necessity of complementing it with a human objective decision making tool.

However, AHP cannot be used alone because it does not have the power to give reliable score and classify a potential borrower.

Hence, this hybrid model AHP/discriminant analysis serves as a meeting point to overcome these limitations and takes the best of both methods.

Both are complementing each other by providing a full scoring and proposing an innovation which makes of it a unique model in the credit scoring context.

To show the effectiveness of this model, the Moroccan Development Bank (FEC) is taken as a case study.

The objective from applying this model on a real case is to evaluate the ability of a Moroccan financial institution to enhance its credit risk management system.

التخصصات الرئيسية

العلوم المالية و المحاسبية

الموضوعات

• المصارف
• القروض
• دراسات الحالة
• المغرب
• الأعمال المصرفية

عدد الصفحات

68

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-628700