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Information Journal Paper

Title

Investigation of the Joint Effect of Economic Cycles and Industry Specific Sector on Credit Scoring Models

Pages

  1-15

Abstract

 One of the most important risks that the banks and financial institutes face, is credit risk which is related to not-paid instalments or the instalments paid with delay by borrowers. Banks use Credit Scoring models In order to prevent this type of risk. The goal of this research is to investigate the joint effect of Economic Time Cycles and the industry sector on Credit Scoring models we are seeking to answer the key question: “ when should bank change their Credit Scoring models based on Economic Time Cycles and for which Industry sectors? ” . The dataset of the research involves all companies that were applied for a loan in one of the Iranian major banks during the years 2008-2011. The companies have been divided into four Industry sectors including “ Industry and Mine” , “ Oil and chemical” , “ Service and Infrastructure” and finally “ Agriculture” . Based on the sector of the industry and year, 54 explanatory variables, both financial and non-financial, 12 distinct Industry sectors and time-specific data sets are built then Classification methods were used to classify customers into two groups of defaults and non-defaults. Finally, we compared the results by Wilcoxon Test. The results show that the companies that are in the groups of Industry and Mine and Agriculture, need their own special Credit Scoring based on industry type model and time but two other groups don’ t need of course in the studies dataset duration. Finally, the study concluded by introducing the Credit Scoring strategies for different four-cycle of economies.

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    APA: Copy

    SADATRASOUL, SEYED MAHDI, YOUSEFI ZENOUZ, REZA, & Abbaz, Mojgan. (2021). Investigation of the Joint Effect of Economic Cycles and Industry Specific Sector on Credit Scoring Models. JOURNAL OF INFORMATION TECHNOLOGY MANAGEMENT, 13(4), 1-15. SID. https://sid.ir/paper/982516/en

    Vancouver: Copy

    SADATRASOUL SEYED MAHDI, YOUSEFI ZENOUZ REZA, Abbaz Mojgan. Investigation of the Joint Effect of Economic Cycles and Industry Specific Sector on Credit Scoring Models. JOURNAL OF INFORMATION TECHNOLOGY MANAGEMENT[Internet]. 2021;13(4):1-15. Available from: https://sid.ir/paper/982516/en

    IEEE: Copy

    SEYED MAHDI SADATRASOUL, REZA YOUSEFI ZENOUZ, and Mojgan Abbaz, “Investigation of the Joint Effect of Economic Cycles and Industry Specific Sector on Credit Scoring Models,” JOURNAL OF INFORMATION TECHNOLOGY MANAGEMENT, vol. 13, no. 4, pp. 1–15, 2021, [Online]. Available: https://sid.ir/paper/982516/en

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