文档介绍：Journal of Banking & Finance 27 (2003) 615–633
ate/econbase
Bank lending policy, credit scoring and
value-at-risk
Tor Jacobson *, Kasper Roszbach
Research Department, Sveriges riksbank, 103 37 Stockholm, Sweden
Received 12 January 2001;accepted 10 September 2001
Abstract
This paper builds on the credit-scoring literature and proposes a method to calculate port-
folio credit risk. Individual default risk estimates are used pose a value-at-risk (VaR)
measure of credit risk. In general, credit-scoring models suffer from a sample-selection bias.
The starting point is therefore to estimate an unbiased scoring model using the bivariate probit
approach. The paper uses a large data set with Swedish consumer credit data that contains
extensive financial and personal information on both rejected and approved applicants. We
study how marginal changes in a default-risk-based acceptance rule would shift the size
of the bankÕs loan portfolio, its VaR exposure and average credit losses. Finally, pare
the risk in the sample portfolio with that in an efficiently provided portfolio of equal size. The
results show that the size of a small consumer loan does not affect associated default risk,
implying that the bank provides loans in a way that is not consistent with default-risk mini-
mization. VaR calculations indicate that an efficient selection (by means of a default-risk-
based rule) of loan applicants can reduce credit risk by up to 80%.
Ó 2002 Elsevier Science . All rights reserved.
JEL classification: C35;D61;D81;G21;G33
Keywords: Banks;Lending policy;Credit scoring;Credit risk;Value-at-risk;Bivariate probit
1. Introduction
Consumer credit e to play an increasingly important role, both as an in-
strument in the financial planning of households and as an asset on the balance sheet
* Corresponding author. Tel.: +46-8-787-000;fax: +46-8-210-531.
E-mail addresses: tor.******@ (T. Jacobson), kasper.******@ (K. Rosz-
bach).