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The paper is aimed at comparing the divergence of existing credit risk models and creating a synergic model with superior forecasting power based on a rating model and probability of default model of Russian banks. The paper demonstrates that rating models, if applied alone, tend to overestimate an instability of a bank, whereas probability of defa...
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... scale clearly shows the non-linear pattern of PD and rating grade. In or- der to correspond the scale provided in Table 3 to the base rating's scale of this research (see Appendix Table), one exponential and two polynomial transforma- tions were applied. The results of extrapolation of PD to all numeric rating grades of the base scale are provided in Fig. 2. Fig. 2 shows that the rating scale corresponds to PD non-linearly. ...
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Finans sektöründe çevrimiçi ve mobil işlemlerin sayısı ve hızının artması beraberinde farklı riskleri ve denetleme maliyetlerini de getirmiştir. Bu riskler sahtecilikten kredi riskine, veri tabanı hatalarından, operasyonel problemler ve müşteri kayıplarına kadar çok farklı alanlarda gerçekleşebilir. Bu çalışmada faktoring işlemleri için senaryo bazlı aykırılık analizi bu riskleri oluşma aşamasında ve gözetimli bir istatistiksel bir model kurmadan tespit etmeyi amaçlamaktadır. Aykırılık analizi bağlamında karakteristikleri ana kümeden büyük sapma gösteren çek, müşteri ya da müşteri temsilcisi gözlemleri aykırı olarak tanımlanmaktadır. Bu karakteristikler faktoring uzmanlarının tecrübelerine dayanılarak geliştirilen senaryo kurguları içinde seçilip bir araya getirilmiştir. Karakteristiklerin ana kümeden sapmaları Mahalanobis, Minimum Kovaryans, ve Ortogonolize Gnanadesikan- Kettenring uzaklıkları ile hesaplanmaktadır. Çalışmada kullanılan veritabanı bir faktoring şirketinin 2018-2020 arası çek faktoring işlem bilgileri ile Kredi Kayıt Bürosu Çek ve Risk raporlarını birleştirmekte ve 7 farklı senaryo kullanılarak aykırı işlemler bulunmaktadır. Kurulan modelin aykırı değer eşik seviyesinin finansal kurumun tolere edebileceği hata tespit oranları ve istihbarat bütçesi çerçevesinde nasıl ayarlanıp optimize edilebileceği de çalışmada gösterilmiştir. Geliştirilen model bankacılık, faktoring, leasing, sigortacılık alanlarındaki hemen her finansal işlemde risk taşıyan aykırı gözlemleri bulabildiği gibi finansal sektörü düzenleyici ve denetleyici kurumlar tarafından da kullanılabilir.
