Loan portfolio credit risk: relation with credit rating model validity
Loan portfolio credit risk: relation with credit rating model validity

Summary/Abstract: This paper investigates the credit risk assessment of Lithuanian companies and the validity of developmed statistical credit rating model. The attribution of credit ratings for companies in developed model involves 2 stages. The first is the classification of companies into default and non-default groups by logistic regression model. The second is attribution of credit ratings for companies that by logistic regression model were classified as non-default. The analysis of the parameters of loan portfolio affirmed the validity to use the model in credit risk assessment. The loss of loan portfolio is acceptable and the analysis results allow to manage the loan portfolio risk in bank.

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