Int. J. of Business Continuity and Risk Management   »   2017 Vol.7, No.2



Title: Assessing individual credit risk on the basis of discriminant analysis by Poland's cooperative banks


Authors: Rafał Balina; Mirosława Nowak


Faculty of Economic Sciences, Warsaw University of Life Sciences – SGGW, 166 Nowoursynowska Str., 02-787 Warsaw, Poland
Faculty of Social Sciences, Jan Kochanowski University in Kielce, 5 Żeromskiego Str. 25-369 Kielce, Poland


Abstract: The main objective of the study was to determine the potential of Poland's cooperative banks utilising discriminant analysis to assess individual credit capability. In the construction of the scoring model, data from retail co-op bank clientele was used. The chosen banks operated in rural areas and their clients were granted loans during the years 2010-2014. The realised study considered the possibility of applying discriminant analysis to restrict a co-op bank's individual credit risk exposure. From among 28 explanatory variables describing a bank's clients who were applying for loans, five variables were found to be effective in the model: applicant's age, applicant's higher education, current loan obligations, applicant's default on loan payment, and maximum number of days an applicant was late in due payment. These variables, connected with assessing regressive coefficients returned a highly effective credit risk indicator identifying potentially insolvent clients.


Keywords: credit risk; discriminant analysis; cooperative bank; Poland.


DOI: 10.1504/IJBCRM.2017.10007175


Int. J. of Business Continuity and Risk Management, 2017 Vol.7, No.2, pp.103 - 112


Submission date: 05 Jun 2016
Date of acceptance: 30 Jan 2017
Available online: 17 Aug 2017



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