Credit risk estimation using payment history data: a comparative study of Turkish retail stores


KARAN M. B. , ULUCAN A., KAYA M.

CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH, vol.21, no.2, pp.479-494, 2013 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 21 Issue: 2
  • Publication Date: 2013
  • Doi Number: 10.1007/s10100-012-0242-y
  • Journal Name: CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH
  • Journal Indexes: Science Citation Index Expanded, Scopus
  • Page Numbers: pp.479-494
  • Keywords: Credit risk, Trade credit, Logistic regression, Multiple criteria decision analysis, DISCRIMINANT-ANALYSIS, FINANCIAL RATIOS, PREDICTION, DISTRESS, MARKET

Abstract

Our paper presents a comparative study applying logistic regression and multiple criteria decision analysis tools to the operations of wholesalers to assess the credit risk of their retailers using payment history data and to cluster the risky customers by ranking their risk levels. Our sample comprises approximately 6,000 retailer customers and 600.000 transactions of one of the major wholesalers of Turkey. Our findings emphasize the importance of using payment history and some non-financial factors data for predicting the creditworthiness of a firm.