出版社：“Victor Slăvescu‿Centre for Financial and Monetary Research
摘要：In this paper we build a system for determining the credit risk
score and to estimate the probability of default for Romanian non-bank
stock exchange intermediaries using principal component analysis
applied on a selected set of financial and prudential indicators obtained
from their financial statements and capital adequacy reports. Our
approach is useful when dealing with non-listed undertakings, for which
the probability of default cannot be derived from market prices. In
addition, it can be replicated for the same type of companies in other
jurisdictions and can be adapted to other type of non-bank financial
intermediaries. The method could be especially useful for central
counterparties. Regarding the eventuality of changeover to euro, this
will have an insignificant impact on the financial credit risk score of
Romanian non-bank intermediaries.
关键词：credit risk scoring; default probability; principal
