Decision support system for credit risk management

An empirical study

Mehmet Resul Bilginci, Gamze Ogcu Kaya, Ali Turkyilmaz

Research output: Contribution to journalArticle

Abstract

Risk is an integrated part of the banking functions, which cannot be eliminated completely but it can be reduced by employing appropriate techniques. Credit processing is one of the core functions in the banking system, and its performance is closely related to management of the risks. The aim of this article is to develop a credit scorecard model which can be used as decision support system. A logistic regression with stepwise selection method is used to estimate the model parameters. The data that is used to construct the credit scorecard model is obtained from one of the pioneering banks in Turkish Banking Sector. The performance of the developed model is tested using statistical metrics including Receiver Operator Characteristic (ROC) curve and Gini statistics. The result reveals that the model performs well and it can be used as a decision support system for managing the credit risk by managers of the banks.

Original languageEnglish
Pages (from-to)18-31
Number of pages14
JournalInternational Journal of Information Systems in the Service Sector
Volume11
Issue number2
DOIs
Publication statusPublished - Apr 1 2019

Fingerprint

Decision support systems
Risk management
Mathematical operators
Logistics
Managers
Empirical study
Credit risk management
Statistics
Processing
Credit
Scorecard

Keywords

  • Credit Risk
  • Credit Scorecard Model
  • Gini Coefficient
  • Logistic Regression
  • ROC Curve

ASJC Scopus subject areas

  • Management Information Systems
  • Information Systems
  • Strategy and Management
  • Management Science and Operations Research
  • Information Systems and Management

Cite this

Decision support system for credit risk management : An empirical study. / Bilginci, Mehmet Resul; Kaya, Gamze Ogcu; Turkyilmaz, Ali.

In: International Journal of Information Systems in the Service Sector, Vol. 11, No. 2, 01.04.2019, p. 18-31.

Research output: Contribution to journalArticle

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