부(負) (Negative) DEA를 이용한 신용위험평가

A Credit Risk Evaluation Using Negative DEA

The purpose of this paper is to introduce the concept of negative DEA, which aims at identifying worst performers by placing them on the efficient frontier, This paper also proposes to use a layering technique instead of the traditional cut-off point approach, since this enables incorporation of risk attitudes and risk-based pricing. The results of the empirical application on credit risk evaluation validate the method which is proposed in this paper.