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Towards a model of credit card risk assessment / Norzaila Era Zakaria

Under Basel Capital Accord requirement, banks have come to the firm conclusion that they need to start quantifying credit risk. There are two main types of current credit risk assessment model, which are judgmental and quantitative. Judgmental type method is based on analyses relying on quantitative...

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Main Author: Zakaria, Norzaila Era
Format: Thesis
Language:English
Published: 2006
Online Access:https://ir.uitm.edu.my/id/eprint/64028/1/64028.PDF
https://ir.uitm.edu.my/id/eprint/64028/
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spelling my.uitm.ir.640282023-07-17T07:58:01Z https://ir.uitm.edu.my/id/eprint/64028/ Towards a model of credit card risk assessment / Norzaila Era Zakaria Zakaria, Norzaila Era Under Basel Capital Accord requirement, banks have come to the firm conclusion that they need to start quantifying credit risk. There are two main types of current credit risk assessment model, which are judgmental and quantitative. Judgmental type method is based on analyses relying on quantitative techniques and subjective elements. This method suffers a few disadvantages. Firstly, it is expensive in terms of resources and costs. Secondly, the transformation of tacit knowledge about the borrowers' characteristics to explicit organizational knowledge is difficult under such a process (Chakrabati, Baijayanta and Ravi Varadachari ). The quantitative method depends on statistical analysis and consumer historical data to arrive at the conclusion. The current quantitative model which actively being used by most banks for credit risk estimation is credit scoring model. The main objective of this study is to analyze the performance of credit scoring model to predict the credit loss based on Citibank's consumer data using the statistical method which is linear regression model. This performance accuracy was determined by representing the analysis of experiment's result. In addition to that, this study identifies the issues of weaknesses of current credit risk model in estimating the credit loss and issues of data limitation in implementing credit card's risk model. 2006 Thesis NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/64028/1/64028.PDF Towards a model of credit card risk assessment / Norzaila Era Zakaria. (2006) Masters thesis, thesis, Universiti Teknologi Mara (UiTM).
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
description Under Basel Capital Accord requirement, banks have come to the firm conclusion that they need to start quantifying credit risk. There are two main types of current credit risk assessment model, which are judgmental and quantitative. Judgmental type method is based on analyses relying on quantitative techniques and subjective elements. This method suffers a few disadvantages. Firstly, it is expensive in terms of resources and costs. Secondly, the transformation of tacit knowledge about the borrowers' characteristics to explicit organizational knowledge is difficult under such a process (Chakrabati, Baijayanta and Ravi Varadachari ). The quantitative method depends on statistical analysis and consumer historical data to arrive at the conclusion. The current quantitative model which actively being used by most banks for credit risk estimation is credit scoring model. The main objective of this study is to analyze the performance of credit scoring model to predict the credit loss based on Citibank's consumer data using the statistical method which is linear regression model. This performance accuracy was determined by representing the analysis of experiment's result. In addition to that, this study identifies the issues of weaknesses of current credit risk model in estimating the credit loss and issues of data limitation in implementing credit card's risk model.
format Thesis
author Zakaria, Norzaila Era
spellingShingle Zakaria, Norzaila Era
Towards a model of credit card risk assessment / Norzaila Era Zakaria
author_facet Zakaria, Norzaila Era
author_sort Zakaria, Norzaila Era
title Towards a model of credit card risk assessment / Norzaila Era Zakaria
title_short Towards a model of credit card risk assessment / Norzaila Era Zakaria
title_full Towards a model of credit card risk assessment / Norzaila Era Zakaria
title_fullStr Towards a model of credit card risk assessment / Norzaila Era Zakaria
title_full_unstemmed Towards a model of credit card risk assessment / Norzaila Era Zakaria
title_sort towards a model of credit card risk assessment / norzaila era zakaria
publishDate 2006
url https://ir.uitm.edu.my/id/eprint/64028/1/64028.PDF
https://ir.uitm.edu.my/id/eprint/64028/
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score 13.211869

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