Lending decisions under uncertainty: a DEA approach
本文展示了一种随机DEA模型用于信用评分，帮助金融机构在不确定性下管理信用风险、满足监管要求并增加收入。
Credit markets have experienced phenomenal growth in the last years, and there is no evidence to expect that this trend will invert in the next decade. Given that, virtually every segment of the industry is called to improve its skills in credit risk management with the threefold aim of managing concentration risk, meeting regulatory requirements and enhancing revenues. Clearly, for financial institutions, exposure to credit risk continues to be the leading source of problems and the challenging issue of managing credit risk is considered a crucial topic. This paper demonstrates the use of a stochastic DEA model for credit scoring which is one of the prevailing analytical technique to evaluate credit risk. Although the principles contained in this paper are most clearly applicable to the business of lending, they can be applied to all activities where credit risk is present.