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| Author: | Bardos, M. |
| Title: | Detecting the risk of company failure at the Banque de France |
| Journal: | Journal of Banking and Finance
1998 : OCT, VOL. 22:10-11, p. 1405-1419 |
| Index terms: | Credit control Risk France |
| Freeterms: | Credit scoring Loan portfolio loss Discriminant analysis Probability of failure |
| Language: | eng |
| Abstract: | For the banking system, forecasting the risk of company failure supposes that tools for detecting company difficulties which make use of widely available computer databases are available. The tools can be used as decision-making aid in credit arrangements on a case-by-case basis and also for risk management. The article presents: (1) The construction of the Banque de France industry score, that is, the choice of data and statistical method, the validation of the tool, and the estimated probability of failure according to the score function. (2) The method of diagnosing a company's individual risk. (3) The use of the score as probabilistic tool for evaluating the risk arising on a portfolio of commitments. |
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