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

Detalhes bibliográficos
Autor(a) principal: Abano, Karina Couto Xavier
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10362/134520
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Marketing Research and CRM
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spelling B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting StandardsBad debtCredit riskTrade ReceivablesProbability of defaultScoringDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Marketing Research and CRMSince 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.Bravo, Jorge Miguel VenturaRUNAbano, Karina Couto Xavier2022-03-15T18:51:04Z2022-02-082022-02-08T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/134520TID:202965775enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T18:00:11Zoai:run.unl.pt:10362/134520Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:31:04.920605Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
title B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
spellingShingle B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
Abano, Karina Couto Xavier
Bad debt
Credit risk
Trade Receivables
Probability of default
Scoring
title_short B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
title_full B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
title_fullStr B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
title_full_unstemmed B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
title_sort B2B Credit Risk Management: A proposal for Expected Credit Losses (CECL) measurement and implementation under the new Financial Accounting Standards
author Abano, Karina Couto Xavier
author_facet Abano, Karina Couto Xavier
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Abano, Karina Couto Xavier
dc.subject.por.fl_str_mv Bad debt
Credit risk
Trade Receivables
Probability of default
Scoring
topic Bad debt
Credit risk
Trade Receivables
Probability of default
Scoring
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Marketing Research and CRM
publishDate 2022
dc.date.none.fl_str_mv 2022-03-15T18:51:04Z
2022-02-08
2022-02-08T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/134520
TID:202965775
url http://hdl.handle.net/10362/134520
identifier_str_mv TID:202965775
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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