| Abstract [eng] |
Credit risk is influenced by the quality and diversification rate of the portfolio of leasing services. The former experienced significant changes during the economic recession. This master thesis examines the methods and tools for credit risk assessment and management. In addition to this, it also focuses on changes in the portfolio of leasing services and factors influencing the emergence of credit risk. The research has been conducted using the data of two companies, namely JSC ‘SEB lizingas’ and JSC ‘DNB lizingas’. Determinants of changes in the portfolio of services were analyzed using various statistical methods. Moreover, the diversification of the portfolio of services was evaluated applying the Herfindahl–Hirschman index (HHI) and Shannon entropy coefficient (S). Finally, using M.A.Segoviano Basurto‘s model (2006) together with CoPoD and CIMDO methodologies, credit risk testing was carried out in the most unfavourable conditions. According to the results of the research, the factors that influenced the emergence of credit risk in leasing companies during the economic recession are the following: the insolvency of debtors, decreasing financial capacity, worsening macroeconomic indicators and a changed diversification rate of the portfolio of Leasing companies. |
