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, cilt.21, sa.2, ss.479-494, 2013 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 21 Sayı: 2
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1007/s10100-012-0242-y
  • Dergi Adı: CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.479-494
  • Anahtar Kelimeler: Credit risk, Trade credit, Logistic regression, Multiple criteria decision analysis, DISCRIMINANT-ANALYSIS, FINANCIAL RATIOS, PREDICTION, DISTRESS, MARKET
  • Hacettepe Üniversitesi Adresli: Evet

Özet

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.