| Abstract [eng] |
The goal of this dissertation is to develop the rating system of Lithuanian companies based on the statistical scoring model and assess the possibilities of this system‘s application at Lithuanian banks. The dissertation consists of three Chapters. Development and application peculiarities of rating systems based on statistical scoring models are described in the first Chapter. In the second Chapter the results of the survey of commercial banks and foreign bank branches, operating in the country, performed by the dissertation author are analysed. The goal of this inquiry was to to elucidate a scale and peculiarities of a scoring models application for a retail application assessment. In the third Chapter the rating system of Lithuanian companies based on the logistic regression model is provided, the possibilities of its application at Lithuanian banks are assessed. This rating system of Lithuanian companies is suitable to assess companies from all economic sectors. Developing the logistic regression model a default definition was used to define a “bad“ company, so the model may be being applied calculating capital requirements in observance with the legal acts of the Bank of Lithuania. The rating system may be being applied for different purposes not only at banks, but also at other institutions, at which a companies‘ credit risk needs to be being assessed: consumer credit, small consumer credit and leasing companies may apply it to assess a credit risk of debtors‘ employers, also at insurance companies and so on. It may also be being applied by companies, that want to assess their own creditworthiness. |
