Discriminant Analysis of Credit Management
|Author:||Mgr. Markéta Šlaisová|
|Year:||2002 - summer|
|Leaders:|| † prof. Ing. Michal Mejstřík CSc.
|Work type:|| Finance and Banking
|Awards and prizes:||Extraordinary Award by Charles University Rector.
M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis
|Abstract:||This paper focuses on the assessment of options for enhancing the efficiency of credit management in Czech banks that can be achieved through systematic approach to credit decisions based on multiple discriminant analysis (MDA). The method's requirements on features of the analyzed environment are assessed and compared to the prerequisites of methods, proposed by the New Basle Capital Accord -- the internal models of credit risk assessment. Besides the data requirements criterion, MDA is rated from the perspective of flexibility of adaptation to changes in the environment, above all concerning the bonity structure of the bank's clients and the relative costs of banks' incorrect decisions.
A fundamental part of the paper consists of a set empirical applications of MDA, which build on the reviews of selected previous papers on assessment of financial distress via MDA. Besides the evaluation of the possibility to identify the determinants of business failure in current Czech conditions by the means of MDA, the analyses performed within this paper also aim at testing some of the questionable assumptions, which have been imposed implicitly by the authors of the previous papers. This concerns in particular the assumption that discriminant coefficients are constant over time, the fulfillment of which is of fundamental importance for the feasibility of a "universal discriminant function" that would explain financial distress and/or credit risk of enterprises at any point of time.
|Downloadable:|| Diploma Thesis - Šlaisová