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1、THEWILLIAMDAVIDSONINSTITUTEATTHEUNIVERSITYOFMICHIGANDefaultPredictorsinRetailCreditScoring:EvidencefromCzechBankingDataBy:EvzenKocenda&MartinVojtekWilliamDavidsonInstituteWorkingPaperNumber1015April2011DefaultPredictorsinRetailCreditScoring:EvidencefromCzechBankingDataabEvženKočendaandMar
2、tinVojtekAbstractCredittotheprivatesectorhasrisenrapidlyinEuropeanemergingmarketsbutitsriskevaluationhasbeenlargelyneglected.Usingretail-loanbankingdatafromtheCzechRepublicweconstructtwocreditriskmodelsbasedonlogisticregressionandClassificationandRegressionTrees.Bothmethodsarecomparablyef
3、ficientanddetectsimilarfinancialandsocio-economicvariablesasthekeydeterminantsofdefaultbehavior.Wealsoconstructamodelwithoutthemostimportantfinancialvariable(amountofresources)thatperformsverywell.Thiswayweconfirmsignificanceofsocio-demographicvariablesandlinkourresultswithspecificissuesc
4、haracteristictonewEUmembers.Keywords:creditscoring,discriminationanalysis,bankingsector,patternrecognition,retailloans,CART,EuropeanUnionJELClassification:B41,C14,D81,G21,P43a(correspondingauthor)CharlesUniversityandtheAcademyofSciences,(CERGE-EI),P.O.Box882,Politickýchvězňů7,11121Prague,
5、CzechRepublic;Phone:(+420)224005149,Fax:(+420)224005333Anglo-AmericanUniversity,Prague;TheWilliamDavidsonInstitute,UniversityofMichigan;CESifo,Munich;OEI,Regensburg;andtheEuroAreaBusinessCycleNetwork.e-mail:evzen.kocenda@cerge-ei,czbCzechNationalBank,NaPříkopě28,11503Prague,CzechRepublic;
6、andCERGE-EI,Prague.e-mail:martin.vojtek@cnb.czWewouldliketothankMartinČihák,JarkoFidrmuc,ChristaHainz,StefanieKleimeier,andHendrikWagnerforhelpfulcomments.GAČRgrantsupport(402/09/1595)isgratefullyacknowledged.Theusualdisclaimerapplies.1.IntroductionTheUSmortgagecrisisin2007involvedserious
7、weaknessesinassessingconsumercreditrisk.Theensuingeconomiceffectsspilledovergloballyandattentionturnedtoconsumercreditinemergingmarkets(ArslanandKaran,2010).InthecontextofEuropeanemergingmarketsBackéandWójcik(2008;p.458)arguethatcredittotheprivatesectorhasrisenrapid
