1 : Credit raiting 1: . 2: , , 3: : , : : 2 , . ,, ,, ,, . . . , . . . ,, . . . , . . . 3 - . . : 1. . 2. - , , . 4 1. 1.1 : . .1.1.1 , , . , . . , . . . . : 1. 2. 3. 4. . . . , . 5 , . 3 . a1 1/1 . . +1-, -1- .1.1 .. . .. . , .1.2 . . .1.3 . . . . . . 6 1.4 . . .1. . .2. .3. . .4... . . , . 1.1.2 . . ( )t t tu X , f Y + = ty 01 . .1 =ty tP . 0 =ty ( )tP - 1 . ( ) ( )t t t tP P P Y E = 1 + 1 0 = - ty - .( ) ( )t t tX , f X X y E = = /( )t tX , f P = tP . . ) (2 111) / (iXi i ieX Y E p++= = : iy , nix , i ix z + =2 1| | 7 izi i ieX Y E p11) / (+= = . . iiiiizzzzzieeeeep+=+ +=+ = 1 11 1111 1

ii i iii zz z zziee e eepp= =++=11 /1 / 11 (2.1) 2.1 i i iiiX L zpp 1ln2 1 + = = =||.|

\| . ) 1 , 0 ( |.|

\||.|

\|01ln ;10ln . ip . . 1965-75 . . i . { }n j 3 , 2 , 1 = n . jiP . :13 2 1= + +in i i iP P P P (2.2) . i - .i n n nii ii ii iX + = PX + = PX + = PX + = P3 3 32 2 21 1 1(2.3) ( )n , , 3 2 1 ( )n, , 3 2 1 n 2 . .n 2 .= + + += + + +013 2 13 2 1nn| | | |o o o o(2.4) 8 . (4) .nP P P P 3 2 1, , - ( )P . .( )P P pi i-1 1= ,( ) P P pi i-2 2 = , ( )P P pi i-3 3=... ( )P P pni ni- =03 2 1= + + +ni i i ip p p p . ( )X X xi i- = .( ) ( ) ( )i i i ix X X X X P P1 1 1 1 1 1 1 1- - - | | | o | o = = + + = . Y 3 .i n nii ii ii ix = Px = Px = Px = P3 32 21 1(2.5) (5) i .12111 niinii ixx P===,12122niinii ixx P===,12133niinii ixx P=== ...121niinii ninxx P=== ( )01213 2 13 2 1=+ + +===niinini i i i in xP P P P x + + + ====X P X P X P X P nnn----3 332 221 11 nn P P P P + + + + + + =3 2 13 2 1 o 1965 .N- 9 .ttxPP1 0- 1ln | | + =||.|

\|(2.6) 3 13 2 1= + +i i iP P P .( )( )( )i i ii i ii i iX + = P PX + = P PX + = P P32 32 2 331 31 1 321 21 1 2/ ln/ ln/ ln(2.7) (7) 6 4- . ( ) ( ) ( ) ( )i i i i i i i i i iP P P P P P P P P P1 1 1 3 2 1 1 3 2 3/ ln - / ln / / ln / ln = =( )i i iX X X21 21 31 31 32 32- | o | o | o + + = + ==32 32 3221 31 32--o |o o oP .iiiiiinnNnNnPP12112212=||.|

\|||.|

\|=;iiiiiinnNnNnPP13113313=||.|

\|||.|

\|=;( )( )( )iiiXXXeeePP32 3231 3121 21 - --1311+++=++=| o (Probit) 1933M.Fadden. .Logit. . t ttu xI+ + =1 0| | iX ,| tu . tI- :tP - .dt e I F I I p y p pt It t t t t tt2*2*21) ( ) ( ) 1 ( = = s = = =t 10 tI - . :t t ttu x P FI+ + = =1 01) ( | |. tP - . 1. 22100 , 30 . .MeanStd. Deviation c1 0.470.665065 c2 -1.909.938105 c3 -3.9221.60656 c4 0.530.665066 c5 0.280.863073 c6 0.110.289991 c7 3.394.375542 c8 2.083.126191 c9 // 4.149.55497 c10 // 5.2211.33145 c11 // 1.814.1223 c12 0.400.329696 c13 1.000.957762 c14 -1.5210.11349 c15 0.230.279744 11 c16 3.469.385723 c17 0.010.064327 c18 0.090.469789 c19 /ROE/ 0.090.469789 c20 /ROA/ 0.010.064327 c21 186.87720.1532 c22 0.051.457868 c23 -37.99179.329 c24 , 0.092.236767 c25 0.250.74751 c26

5.8812.77389 c27 0.530.665066 c28 , -4.2719.87279 c29 0.220.342302 c30 2.023.146657 , , . , . 30 10 . C1C8C11C12C14C18C19C22C25C26 C11.000.260.200.290.17-0.17-0.170.140.080.17 C80.261.00-0.14-0.15-0.16-0.18-0.180.06-0.040.18 C110.20-0.141.000.200.06-0.03-0.03-0.03-0.07-0.04 C120.29-0.150.201.000.010.070.070.200.10-0.18 12 C140.17-0.160.060.011.000.140.140.070.060.04 C18-0.17-0.18-0.030.070.141.001.00-0.310.13-0.44 C19-0.17-0.18-0.030.070.141.001.00-0.310.13-0.44 C220.140.06-0.030.200.07-0.31-0.311.000.19-0.01 C250.08-0.04-0.070.100.060.130.130.191.00-0.34 C260.170.18-0.04-0.180.04-0.44-0.44-0.01-0.341.00 : k1" "2,163876 k2"" -2,1238720 k3" " 0,9707513 k4"" 0,1385118 k5" "1,578978 k6" " 1,381759 k7" "0,2051717 k8" " 0,2351616 k9""1,2913510 k10"- "1,1743811 k11" " 0,4103215 k12""1,0120012 k13" " 16,844001 k14" "13,025002 k15""7,654004 k16"" 7,430005 k17" " 4,927007 k18" " 0,8680014 k19" " -0,0670019 k20" " 9,114003 k21" " -2,7280021 13 k22" " -3,8500022 " "," " "". . : " "k19628.50%7 "" k2175100.00%22 " " k313361.90%14 k414280.90%18 " "k510033.30%8 " " k612042.80%11 " "k714176.10%17 " " k813871.40%16 ""k912652.30%12 "- "k1011738.00%9 k1115590.40%20 k1212042.80%11 " " k13290.00%1 " "k14554.70%3 ""k15554.70%3 k166814.20%4 k177923.80%6 k1812857.10%13 k1914885.70%19 k207719.00%5 14 k2113566.60%15 k2217295.20%21 : . 82216108152325 C1C8C11C12C14C18C19C22C25C26 k18,001,371,182,680,410,01-0,410,060,230,55 k2-8,00-1,37-1,18-2,68-0,410,000,41-0,06-0,23-0,55 k32,065,31-0,82-1,36-0,380,07-0,430,02-0,120,57 k41,60-0,745,901,830,13-0,49-0,08-0,01-0,22-0,13 k52,31-0,781,179,260,010,020,160,090,31-0,59 k61,40-0,850,330,052,350,000,340,030,170,12 k7-1,36-0,93-0,200,610,330,002,43-0,130,39-1,44 k8-1,36-0,93-0,200,610,330,012,43-0,130,39-1,44 k91,090,31-0,171,810,160,00-0,750,430,56-0,02 k100,62-0,21-0,440,960,140,030,320,083,00-1,10 k111,340,94-0,23-1,680,090,02-1,080,00-1,023,25 k12-0,0822,005,254,35-10,68-0,19-0,950,030,062,48 k137,0414,0816,0010,002,870,080,390,070,5424,80 k147,207,816,856,571,860,020,100,040,3625,00 k154,084,463,604,262,140,020,120,801,326,32 k161,601,6510,636,208,000,040,190,070,002,34 k175,126,703,603,701,460,010,070,030,064,08 15 k184,161,171,000,830,380,000,000,000,00-0,92 k193,284,730,470,460,28-0,03-0,15-0,15-0,09-3,66 k201,123,452,543,526,610,060,292,000,27-0,73 k21-0,801,701,772,04-5,251,005,00-1,51-0,48-5,58 k220,801,430,300,280,71-0,27-1,33-1,16-0,33-2,34 " "14,088 "" -14,0622 " " 4,9413 7,7910 " "11,969 " " 3,9514 " "-0,3119 " " -0,2918 ""3,4216 "- "3,4115 1,6317 22,276 " " 75,871 " "55,812 ""27,134 30,723 24,845 6,6211 16 5,1512 19,137 -2,1121 -1,9220 : . " "k18,062,847 "" k214,093,7522 " " k39,683,1116 k410,163,1917 " "k58,102,858 " " k68,922,9911 " "k79,563,0914 " " k89,533,0915 ""k98,983,0012 "- "k108,532,929 k1110,973,3118 k1212,823,5821 " " k133,861,961 " "k145,112,262 ""k155,482,343 k166,352,525 k176,862,626 k188,832,9710 17 k199,393,0613 k206,272,504 k2112,163,4919 k2212,563,5420 . , . . I II III IV " "k16787287 "" k2202222228622 " " k3131413165614 k4181810176315 " "k58898338 " " k691114114510 " "k7171719146718 " " k8161618156517 ""k9101216125012 "- "k10119159449 k11152017187019 k1212116215013 " " k13111141 " "k14232292 ""k154343143 k165435174 k177656246 k18141311104811 k19191912136316 k203574195 k21211521197620 k22222120208321 " " 1 " "2 ""3 4 5 6 " "7 18 . 4 4 . 86 . . . 1-10,11-18,19-35. . . : Dependent Variable: DDD Method: ML - Binary Probit Date: 04/05/08 Time: 11:07 Sample: 1 22 Included observations: 22 Convergence not achieved after 1 iterations Covariance matrix computed using second derivatives VariableCoefficientStd. Errorz-StatisticProb. C10.1370070.9447100.1450260.8847 C2-0.0786870.139048-0.5658940.5715 C30.0327150.0619330.5282360.5973 C4-1.1606480.847444-1.3695880.1708 C53.3124562.1221131.5609240.1185 C6-7.9828036.139225-1.3002950.1935 C71.1552110.6825611.6924660.0906 C8-1.4619050.944788-1.5473380.1218 C9-0.1899680.165919-1.1449500.2522 C100.2273050.1352781.6802790.0929 " "8 "- "9 " " 10 11 ""12 13 " " 14 15 16 " " 17 " "18 19 20 21 "" 22 19 Mean dependent var0.636364 S.D. dependent var0.492366 S.E. of regression0.441021 Akaike info criterion1.558546 Sum squared resid2.333995 Schwarz criterion2.054474 Log likelihood-7.144004 Hannan-Quinn criter.1.675372 Avg. log likelihood-0.324727 Obs with Dep=08Total obs22 Obs with Dep=114 1- 10 7, 9 . .Dependent Variable: DDD Method: ML - Binary Probit Date: 04/05/08 Time: 11:09 Sample: 1 22 Included observations: 22 Convergence achieved after 9 iterations Covariance matrix computed using second derivatives VariableCoefficientStd. Errorz-StatisticProb. C115.8914643.6748641.6031790.1089 C12-18.0641813.45711-1.3423520.1795 C133.0972993.1318970.9889530.3227 C14-0.0801290.197593-0.4055270.6851 C15-3.0633042.284549-1.3408790.1800 C16-0.0895410.163798-0.5466580.5846 C1714.3982714.573270.9879910.3232 C180.1600431.9740520.0810730.9354 Mean dependent var0.636364 S.D. dependent var0.492366 S.E. of regression0.400122 Akaike info criterion1.316164 Sum squared resid2.241366 Schwarz criterion1.712906 Log likelihood-6.477801 Hannan-Quinn criter.1.409624 Avg. log likelihood-0.294446 Obs with Dep=08Total obs22 Obs with Dep=114 11-18 .Dependent Variable: DDD Method: ML - Binary Probit Date: 04/05/08 Time: 11:12 Sample: 1 22 Included observations: 22 Convergence not achieved after 9 iterations Covariance matrix computed using second derivatives VariableCoefficientStd. Errorz-StatisticProb. 20 C1989.5995846.903441.9102990.0561 C20-96.65980159.2502-0.6069680.5439 C21-0.0091480.008595-1.0643710.2872 C2256.7579231.898801.7793120.0752 C23-0.0158850.009713-1.6353920.1020 C242.1116072.4517690.8612590.3891 C25-1.0852965.883542-0.1844630.8537 C262.9929751.4465702.0690150.0385 C32-1.8825112.829543-0.6653050.5059 C33-29.7661915.20018-1.9582780.0502 C342.09784725.060000.0837130.9333 C35-11.888696.043338-1.9672400.0492 Mean dependent var0.636364 S.D. dependent var0.492366 S.E. of regression0.006048 Akaike info criterion1.094805 Sum squared resid0.000366 Schwarz criterion1.689919 Log likelihood-0.042853 Hannan-Quinn criter.1.234996 Avg. log likelihood-0.001948 Obs with Dep=08Total obs22 Obs with Dep=114

19-35 19 /ROE/, 22 ,26,33 , ,35 . . Dependent Variable: DDD Method: ML - Binary Probit Date: 04/05/08 Time: 11:19 Sample: 1 22 Included observations: 22 Convergence not achieved after 5 iterations Covariance matrix computed using second derivatives VariableCoefficientStd. Errorz-StatisticProb. C7-0.0763010.327443-0.2330200.8157 C100.3034690.1657131.8312910.0671 C19-0.9368212.993794-0.3129210.7543 C220.7071460.5216391.3556250.1752 C260.4190180.1921942.1801810.0292 C33-3.2847231.495053-2.1970610.0280 C35-1.3595030.706977-1.9229810.0545 Mean dependent var0.636364 S.D. dependent var0.492366 S.E. of regression0.360832 Akaike info criterion1.185417 Sum squared resid1.952996 Schwarz criterion1.532566 Log likelihood-6.039582 Hannan-Quinn criter.1.267195 Avg. log likelihood-0.274526 Obs with Dep=08Total obs22 Obs with Dep=114 21 7, 19, 22 . Dependent Variable: DDD Method: ML - Binary Probit Date: 04/05/08 Time: 11:21 Sample: 1 22 Included observations: 22 Convergence not achieved after 5 iterations Covariance matrix computed using second derivatives VariableCoefficientStd. Errorz-StatisticProb. C100.3230780.1773891.8212940.0686 C260.3396430.1625752.0891530.0367 C33-2.6742231.299943-2.0571840.0397 C35-1.1587860.603910-1.9188050.0550 Mean dependent var0.636364 S.D. dependent var0.492366 S.E. of regression0.392478 Akaike info criterion1.134250 Sum squared resid2.772701 Schwarz criterion1.332622 Log likelihood-8.476755 Hannan-Quinn criter.1.180981 Avg. log likelihood-0.385307 Obs with Dep=08Total obs22 Obs with Dep=114 100,0686%- ,260,0367%-, 33 , 0,0397%-,35 0,055%- . : 35 * 158786 . 1 33 * 674223 . 2 26 * 339643 . 0 C10 * 0.3230781C C C Y + = Std. Error 0.177389 0.162575 1.2999430.603910 z-Statistic1.821294 2.089153-2.057184 -1.918805 : Y1=1 .Y1=0 . , , . Correlation Matrix C10C26C33C35 C1010.1015687702350.0741172632934-0.0763633441444 22 C2610.09143385781060.191757442859 C331-0.150412318046 C351 Zeta score SPSS 5 .1.C27 - / 2.C28 - / 3.C29 - / 4.C30 - / 5.C31 - / . DDD2728293031Result Default prob Undefault prob K110.1127-2.7772-0.0690-0.67670.066710.2700.730 K210.20610.17990.016994.43140.010210.9680.032 K300.42640.51670.14141.95230.309400.6740.326 K410.0969-0.0555-0.010538.84510.132210.7350.265 K510.22030.06600.050513.76140.502110.2930.707 K610.47350.0043-0.00164.27470.055300.3470.653 K700.32990.31730.00073.74261.226000.8360.164 K800.0756-0.01710.02501.86810.128300.7990.201 K91-0.0690-0.1325-0.004210.07200.423910.4890.511 K1000.21140.15510.08298.35060.522710.3010.699 K1110.04670.70130.05502.43000.497610.7320.268 K1210.4690-0.20940.0079-0.01010.472510.5670.433 K1310.27830.80300.20887.36101.070600.1540.846 K1410.51850.49820.05759.13690.703610.1990.801 23 K1510.26050.30850.04461.03190.432710.2430.757 K161-0.37300.19580.02460.24350.665710.2340.766 K1710.2941-0.17540.02781.76210.000410.2670.733 K1800.0317-0.7619-0.00051.10340.085910.4340.566 K1900.0381-1.1161-0.02510.68310.062900.7750.225 K2010.0469-0.58560.01760.15870.384610.2550.745 K210-0.3676-0.5557-0.2014-0.08950.219710.7630.237 K220-0.2291-0.2562-0.05600.11270.030600.8030.197

Undefault prob Default prob .:K2222- 0,80%,K1313- 0,846%. . 2: , . . . 5C- SWOT Back-Up - . : : 24 1.- 5 . Character- Capacity- Capital- Condition- Collatral- 2.5P - People- Payment- Purpose- Protection- Plan- 3.SWOT Stength-Weakness-Opportunity- Trheat-a 4. CAMPARI . Character,Ability-C , , , ,Means- , , , ,Purpose- , ,Amount- ,Pepayment- , ,Interest and Insurance-, 5. PARSER . Person- Amount - Repayment- Security - Expediency Remuneration 6.Pest . Political-, , . Economic- , . 25 Social- , Technologies , , 7.LGD ( Loss Given Default ) . . , . 8. CAMEL .Capital - Assets - Management - Earing- Liquidity - , . . . .creditscoring , . , . . 1. (30 ) 2. (50 ) 3. , (12 )4. (8 ) 26 100-85A 86-70B 69-55C 54-30D 31-0F 2.1 (30 ) ,,, . . - . . .22 35 11 .Corellation Matrix C1C2C11C12C13C16C18C26C32C33C34 C11.00-1.000.200.290.110.16-0.120.41-1.000.180.25 C2-1.001.00-0.20-0.29-0.11-0.160.12-0.411.00-0.18-0.25 27 C110.20-0.201.000.20-0.060.01-0.060.02-0.200.05-0.03 C120.29-0.290.201.000.620.18-0.01-0.09-0.29-0.050.26 C130.11-0.11-0.060.621.00-0.010.08-0.20-0.110.000.05 C160.16-0.160.010.18-0.011.00-0.010.01-0.160.060.02 C18-0.120.12-0.06-0.010.08-0.011.00-0.090.120.22-0.10 C260.41-0.410.02-0.09-0.200.01-0.091.00-0.410.090.45 C32-1.001.00-0.20-0.29-0.11-0.160.12-0.411.00-0.18-0.25 C330.18-0.180.05-0.050.000.060.220.09-0.181.00-0.19 C340.25-0.25-0.030.260.050.02-0.100.45-0.25-0.191.00 30% 30 : : 5 : 3 : 7 : 9 : 6 , 1 5 1 / 1- . >0.5 0,9>1,5 2,50.8-0.31 0.21.81.5 2,50.1-1,71