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1、JournalofProductivityAnalysis,21,153–165,2004#2004KluwerAcademicPublishers.ManufacturedinTheNetherlands.UsingDEAandWorstPracticeDEAinCreditRiskEvaluationJOSEPHC.PARADI*paradi@mie.utoronto.caCMTE,UniversityofToronto,DepartmentofChemicalEngineeringandAppliedChemistry,200CollegeStreet,Toronto,On
2、tario,M5S3E5,CanadaMETTEASMILDmea@mie.utoronto.caCMTE,UniversityofTorontoPAULC.SIMAKPaul_Simak@mckinsey.comMcKinsey&CompanyAbstractThepurposeofthispaperistointroducetheconceptofworstpracticeDEA,whichaimsatidentifyingworstperformersbyplacingthemonthefrontier.Thisisparticularlyrelevantforourapp
3、licationtocreditriskevaluation,butthisalsohasgeneralrelevancesincetheworstperformersarewherethelargestimprovementpotentialcanbefound.Thepaperalsoproposestousealayeringtechniqueinsteadofthetraditionalcut-offpointapproach,sincethisenablesincorporationofriskattitudesandrisk-basedpricing.Finally,
4、itisshownhowtheuseofacombinationofnormalandworstpracticeDEAmodelsenabledetectionofself-identifiers.Theresultsoftheempiricalapplicationoncreditriskevaluationvalidatethemethod.ThebestcombinationoflayerednormalandworstpracticeDEAmodelsyieldsanimpressive100%bankruptcyand78%non-bankruptcyprediction
5、accuracyinthecalibrationdataset,andequallyconvincing100%and67%out-of-sampleclassificationaccuracies.JELClassification:C14,G33,D24Keywords:dataenvelopmentanalysis,creditrisk,worstpracticeDEA,layeringorpeelingtechnique1.IntroductionIntoday’svulnerableandcompetitivebusinessclimate,corporatebankrup
6、tciesandreorganizationsarecommonoccurrencesamongcompaniesofallsizesandinallindustries.ThenumberofbankruptcyfilingsinCanadaincreaseddramatically*Correspondingauthor.154PARADI,ASMILDANDSIMAKduringthe1990s,withover6,000businessbankruptciesin1998alone.Over$9billionofpubliclydefaulteddebtoccurredwo
7、rld-widein1997.Theloanlossresultingfromdefaultsisquitesubstantialforthefinancialinstitutionsandindividualsinvolved.Asaresult,bankshavebecomeincreasinglyinterestedinquantifyingthecreditriskassociatedwiththeirlendingactivities.Theidentificationan
