Development of a Digital Model for Customer Credit Limit Decisions: Identification of Impact of Macroeconomic Indicators on Credit Risk Assessment

Pia Van Gessel

Diplomová práce

Anotace:

A solid credit risk management in corporations is key to minimize financial risk. Due to the fourth industrial revolution, credit risk management processes change from manual proceeding to automation with credit scoring showing high potential for advanced analytics. This thesis analyzed the importance of considering macroeconomic indicators within a credit scoring model. The research methodology based on two surveys with credit risk communities and a statistical analysis including a correlation and regression analysis proved the importance of the external information within a credit scoring model with differences among the analyzed regions. Despite that, further statistical testing is suggested to identify a set of the most relevant macroeconomic indicators once the underlying credit scoring model is further developed.

Abstract:

A solid credit risk management in corporations is key to minimize financial risk. Due to the fourth industrial revolution, credit risk management processes change from manual proceeding to automation with credit scoring showing high potential for advanced analytics. This thesis analyzed the importance of considering macroeconomic indicators within a credit scoring model. The research methodology based on two surveys with credit risk communities and a statistical analysis including a correlation and regression analysis proved the importance of the external information within a credit scoring model with differences among the analyzed regions. Despite that, further statistical testing is suggested to identify a set of the most relevant macroeconomic indicators once the underlying credit scoring model is further developed.

Klíčová slova

Industry 4.0, Macroeconomic indicators, Credit Risk Management, Credit Scoring, Automation

Keywords

Credit Scoring, Industry 4.0, Credit Risk Management, Macroeconomic indicators, Automation

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 19. 11. 2017

Obhajoba závěrečné práce

• Obhajoba proběhla 14. 6. 2018
• Vedoucí: Ladislav Tyll
• Oponent: Peter Wahnschaffe

Vysoká škola ekonomická v Praze

Magisterský studijní program / obor:
Ekonomika a management / International Management