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In bank-dominated financial systems, the accumulation of non-performing loans is a recognised source of systemic vulnerability, as correlated corporate defaults can erode bank capital, impair liquidity, and propagate stress across interconnected portfolios. Firm-level default detection thus constitutes a microprudential foundation of macroprudential stability: the reliable early identification of risky borrowers reduces both individual credit losses and the aggregate exposures that drive system-level fragility. Yet the use of structured data-mining pipelines for this task remains underexplored in Central and Eastern Europe. This study applies the CRISP-DM methodology to predict corporate loan default using data on 302 Slovak corporate borrowers, combining financial ratios from publicly available financial statements with selected company and loan-related information from internal bank records. Seven individual classifiers were developed and compared: decision trees (CART, CHAID, C5.0), logistic regression, discriminant analysis, and neural networks (MLP, RBF), together with a stacked ensemble based on their outputs. Model performance was evaluated using sensitivity, overall classification accuracy, and area under the ROC curve (AUC), with sensitivity treated as the primary criterion because of the asymmetric costs of misclassification in credit risk assessment. The results confirm that historical firm-level information provides a reliable basis for default prediction, with tree-based models consistently outperforming statistical and neural network approaches. The stacked ensemble achieved the strongest overall performance, whereas C5.0 and CHAID showed that interpretable classifiers can also deliver competitive predictive accuracy. A champion–challenger deployment architecture is proposed, in which the ensemble serves as the performance-oriented champion and interpretable models act as challengers; this arrangement contributes to the operational resilience of the credit-risk assessment process and aligns with macroprudential expectations of model governance, auditability, and explainability. The study offers a replicable methodological framework for integrating data-driven decision support into credit evaluation in comparable banking settings.
Švábová et al. (Thu,) studied this question.