Logo do repositório
 
Publicação

B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards

2022-02-08Dissertação de mestrado Acesso aberto
Ver registo simples
dc.contributor.advisorBravo, Jorge Miguel Ventura
dc.contributor.authorAbano, Karina Couto Xavier
dc.date.accessioned2022-03-15T18:51:04Z
dc.date.available2022-03-15T18:51:04Z
dc.date.issued2022-02-08
dc.descriptionDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Marketing Research and CRMpt_PT
dc.description.abstractSince the latest global financial crisis there is an increase importance in the role of lending market, specially by policy interest and bank regulation. In this article it is proposed a methodology to implement credit risk assessment to estimate the expected credit losses on trade account receivable for B2B companies as it is required by the new accounting standard CECL (Current Expected Credit Loss). The EL (Expected Loss) calculation is the multiplication of PD (Probability of default), by LGD (Loss Given Default) and EAD (Expected at Default). The main focus of this study is the estimation of probability of default with the use of logistic regression model to a dataset from around 350 companies in the Automotive Aftermarket Parts sector in Portugal. The model proposed showed the most significant financial ratios and other qualitative variables in predicting the entities´ credit worthiness with 86.8% of accuracy, 31.7% of sensitivity and AUC of 74.2%. An additional objective is, with the model result, support the B2B companies not only comply with CECL but also better assess the customer’s creditworthiness and therefore develop a sound credit risk policy and management.pt_PT
dc.identifier.tid202965775pt_PT
dc.identifier.urihttp://hdl.handle.net/10362/134520
dc.language.isoengpt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectBad debtpt_PT
dc.subjectCredit riskpt_PT
dc.subjectTrade Receivablespt_PT
dc.subjectProbability of defaultpt_PT
dc.subjectScoringpt_PT
dc.titleB2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standardspt_PT
dc.typemaster thesis
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typemasterThesispt_PT
thesis.degree.nameMestrado em Estatística e Gestão de Informação, especialização em Estudos de Mercado e Gestão do Relacionamento com o Clientept_PT

Ficheiros

Principais
A mostrar 1 - 1 de 1
Miniatura
Nome:
TEGI0572.pdf
Tamanho:
1.51 MB
Formato:
Adobe Portable Document Format
Ver/Abrir

Coleções

NIMS - Dissertações de Mestrado em Estatística e Gestão da Informação (Statistics and Information Management)