The aim of the article is to present a new procedure of company credit risk forecast by using the DEA method under Polish economic conditions. The suggestion is strongly supported by the fact that so far the DEA method has not been applied to estimate credit risk of companies within the framework of credit-scoring. The research described in the article has been carried out on the basis of a comparison between presently used methods (i.e. a point method, discriminant analysis, regression analysis) and the DEA method. In order to verify and compare the effectiveness of various methods of company credit risk estimation the effectiveness of the classification of companies has also been examined. The study has involved an analysed sample (a teaching sample) as well as a test sample which was not taken into account in model building. The research proves that the DEA method allows for forecasting financial difficulties including the threat of bankruptcy at the level comparable or even exceeding the possibilities offered by the methods used so far.

Keywords: credit-scoring, credit risk, credit rating, Data Envelopment Analysis, technical effectiveness.
JEL: C12, C30, C67

  Anna Feruś, The application of the DEA method to define the level of company credit risk - plik pdf; (365 KB)