The Research On DEA-based Approach To Company Credt Scoring

The credit risk management is not only related to the long-term development of the enterprise, but also is important to the establishment of the market economy order. The credit rating, as the way of enterprise credit risk management, is becoming more and more important.The credit scoring approach is considered as the common method by the internati- onal financial industry and the academic circles. These credit scoring methods are gen- erally classified into two categories. One is statistics-based approach such as multiple discriminant analysis and logistic regression analysis. Another is neural networks. Co- mpared with conventional models, which require extra a priori information, this new approach solely requires ex-post information to calculate credit scores.DEA is a new evaluation method for efficiency. This method which converts a multiplicity of input and output measures into a unit-free single performance index formed as a ratio of aggregated output to aggregated input was successfully applied to practice. This paper proposes a DEA-based approach to credit scoring. For the empirical evidence, this methodology was applied to current financial data of 163 manufacturing firms. Using 6 financial ratios, the methodology could synthesize a firm's overall performance into a single financial credibility score. But the score just is result of theoretical study. It is need to test the feasibility of this method. The empirical results were validated by supporting analyses (regression analysis and discriminant analysis) and by testing the model's discriminatory power using ST cases of 26firms.The Data Envelopment Analysis-based approach is feasible and effect.