Kauppakorkeakoulu | Laskentatoimen laitos | Laskentatoimi | 2011
Tutkielman numero: 12520
Developing a proactive credit risk management tool – A case study
|Otsikko:||Developing a proactive credit risk management tool – A case study|
|Vuosi:||2011 Kieli: eng|
|Asiasanat:||laskentatoimi; accounting; kirjanpito; bookkeeping; riskienhallinta; risk management; luotto; credit; riski; risk; arviointi; evaluation; tuloskortti; balanced scorecard|
|Avainsanat:||Risk management, Credit risk, Default risk, Expert system, Balanced Scorecard, Riskienhallinta, luottoriski, luottotappioriski, asiantuntijajärjestelmä, tasapainotettu tuloskortti|
OBJECTIVE OF THE STUDY
Objective of the study is to develop and analyze an in-house credit assessment tool for a large Finnish industrial company. Identification of proactive non-financial and market information measures is considered central. This study proposes a new credit risk management framework that aims to link risk management to corporate strategy within a balanced scorecard (BSC) type of approach. The credit risk measurement technique will base on expert system.
METHODOLOGY AND DATA
The methodology is a constructive case study. The knowledge acquisition is based on various qualitative methods including theme interviews with experts from academic, banking and credit rating field, discussions and interviews with case company’s CFO, head of treasury risk management, credit risk managers and traders and, finally, exploiting the company’s internal written material.
The proposed scorecard for credit risk assessment was found efficient in terms of providing a comprehensive framework for credit risk measurement. This finding implied a linkage to the original BSC’s financial perspective and thus, the connection between risk management and strategy could be identified. The proposed credit risk assessment tool includes total of 25 measures where six financial, 15 non-financial and four market information measures were considered significant. The results obtained by analyzing 31 companies with the credit risk assessment tool suggested the constructed tool provided reasonably similar scores compared to external ratings.
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