Skip to main content

Table 2 Factors of the proposed model. In this research, we propose a model which considers a wider array of factors than the previous researches: a set of certain factors like age, marital status, monthly income, etc. And a set of uncertain predictors (Table 2). A group of 10 top risk managers and banking specialists (credit risk workgroup) helped us to determine these new factors base on their experiences and according to Basel 2

From: A dynamic credit risk assessment model with data mining techniques: evidence from Iranian banks

Variables

Type of customer that corresponds to the variable

Certain or uncertain

Number of customer product

Individual/legal customer

Certain

Number of adverse judgment

Individual/legal customer

Certain

Number of loan repayment past due

Individual/legal customer

Certain

Non-performing amount

Individual/legal customer

Certain

Number of hard inquiries

Individual/legal customer

Certain

Number of rejected request

Individual/legal customer

Certain

Number of dishonored cheque

Individual/legal customer

Certain

Collateral valuation

Individual

Uncertain

Number of risky customers guaranteed

individual

Certain

Number of write off

Individual

Certain

Duration of non-performing

Individual/legal customer

Certain

Exposure amount for each customer

Individual/legal customer

Uncertain

Expected loss

Individual/legal customer

Uncertain

Deposit amount

Individual

Certain

Debt to income ratio

Individual

Certain

Credit score of guarantor

Individual/legal customer

uncertain

Customer probability of default

Individual/legal customer

uncertain

Capital return

legal customer

uncertain

Arrears amount

legal customer

Certain

Liability

Individual/legal customer

Certain

Net flow

legal customer

Certain

Average asset balance previous 12 month

legal customer

Certain

Available credit amount

Individual/legal customer

Certain

Number of repossessions

Individual/legal customer

Certain

Pay hike/rise

legal customer

Certain

Earning power

legal customer

Certain

Earning asset

legal customer

Certain

Intangible asset

legal customer

Certain

Deferred income

legal customer

Certain

Recovery rate

Individual/legal customer

Uncertain

Due date

Individual/legal customer

Certain

Post-dated check

Individual/legal customer

Certain

Non mortgage credit payment

Individual

Certain

Customer life time value

Individual/legal customer

Certain

Occupation stability

Individual/legal customer

Uncertain