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

作     者：Somayeh Moradi Farimah Mokhatab Rafiei 

作者机构：Science and Research BranchIslamic Azad UniversityTehranIran Tarbiat Modares UniversityTehranIran 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2019年第5卷第1期

页      面：240-266页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Fuzzy clustering Non-performing loan Credit risk FIS Dynamism ANFIS 

摘      要：Giving loans and issuing credit cards are two of the main concerns of banks in that they include the risks of *** to the Basel 2 guidelines,banks need to develop their own credit risk assessment *** banks have such systems;nevertheless they have lost a large amount of money simply because the models they used failed to accurately predict customers’***,banks have used static models with demographic or static factors to model credit risk ***,economic factors are not independent of political fluctuations,and as the political environment changes,the economic environment evolves with *** has been especially evident in Iran after the 2008-2016 USA sanctions,as many previously reliable customers became unable to repay their debt(i.e.,became bad customers).Nevertheless,a dynamic model that can accommodate fluctuating politicoeconomic factors has never been *** this paper,we propose a model that can accommodate factors associated with politico-economic *** judgement is removed from the customer evaluation *** used a fuzzy inference system to create a rule base using a set of uncertainty ***,we train an adaptive network-based fuzzy inference system(ANFIS)using monthly data from a customer profile ***,using the newly defined factors and their underlying rules,a second round of assessment begins in a fuzzy inference ***,we present a model that is both more flexible to politico-economic factors and can yield results that are max compatible with real-life *** between the prediction made by proposed model and a real non-performing loan indicates little difference between *** risk specialists also approve the *** major innovation of this research is producing a table of bad customers on a monthly basis and creating a dynamic model based on the *** latest created model is used for assessing customers henceforth,so the whole pro