The Development of Credit Scoring Indicators for Specialized Financial Institution in Thailand
DOI:
https://doi.org/10.14456/rcmrj.2022.259503Keywords:
Credit scoring, Specialized financial institution, Credit rating/Creditworthiness, Credit riskAbstract
The purposes of this research were to develop credit scoring indicators for Specialized Financial Institution (SFIs) in Thailand and to apply credit scoring to credit rating and credit risk analysis for Thailand’s SFIs. This research study and analyze data related to credit scoring from leading Credit Rating Agencies (CRA) such as The Public Debt Management Office (PDMO), TRIS Rating, S&P, Moody's and Fitch Ratings .To use qualitative and quantitative data from SFIs in Thailand and related entities organization. There are four main elements that the model structure (Business risk, Financial risks and Macro risks each of consists use qualitative and quantitative data. Indicators and weight values (100%) (Business risks (40%) include of 1) Industrial level (50%) and 2) Enterprise level (50%), Financial risks (40%) consist at the basic financial level (100%) and Macro risks (20%) consist of 1) Macro level (25%) 2) Government-Related Entity (GRE) level (25%) and 3) Medium-Term Debt management Strategy (MTDS) level (50%).
The evaluation criteria use time-series and panel data that cover Thailand’s economic cycle from 2009 to 2019. To analyze SFIs data by using the percentile statistical method to divide credit scores 1-5 (riskiest-best) by and convert to creditworthiness 1-8 (prime-loss) with the linear regression method by The Z-Score Model (Altman, 1968) as follows:
Model Equations: Z = X1Wα + X2Wδ + X3Wγ + €
The results of the research showed the development of indicators and weight values by dividing risk into business risks, financial risk and macro risk enhance credit rating of SFIs to be more accurate and suitable for the business characteristics of SFIs. The effect of credit rating is also correlated with the possibility of default of SFIs and affects to the overall of the level and management of the Thailand's public debt.
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