Estimation of Credit Capacity Using Data Envelopment Analysis

Bogusław Guzik

doi:https://doi.org/10.59139/ps.2009.02.1

Bogusław Guzik Akademia Ekonomiczna w Poznaniu Przegląd Statystyczny. Statistical Review, vol. 56, 2009, 2, pages: 3-24 Published online: 30 June 2009 DOI https://doi.org/10.59139/ps.2009.02.1

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ARTICLE

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ABSTRACT

The article points out some disadvantages of traditional (based on DEA methodology) procedure of estimating credit capacity which consists in solving CCR and BCC models and estimating a discriminant function where efficiency indicator is a dependent variable and inputs and outputs used in DEA models are independent variables. Since the main problems with this procedure are connected with discriminant function, the author suggests a procedure of credit capacity estimation which uses no discriminant function. The new method is based on DEA methodology, particularly on super-efficiency DEA models (SE-DEA models) with permitted benchmarks. Comparing the credit capacity indicator (here: ranking indicator) with cut-off points enables objects classification.

KEYWORDS

DEA, SE-CCR, credit capacity, DEA with permitted benchmarks

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