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Credit Risk Assessment Using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications

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  • Galindo, J
  • Tamayo, P

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  • Galindo, J & Tamayo, P, 2000. "Credit Risk Assessment Using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications," Computational Economics, Springer;Society for Computational Economics, vol. 15(1-2), pages 107-143, April.
    • Handle: RePEc:kap:compec:v:15:y:2000:i:1-2:p:107-43
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    Citations

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    Cited by:

    1. Lorenzo Gai & Federica Ielasi, 2014. "Operational drivers affecting credit risk of mutual guarantee institutions," Journal of Risk Finance, Emerald Group Publishing, vol. 15(3), pages 275-293, May.
    2. Hiroshi Konno & Yoshihiro Takaya, 2010. "Multi-step methods for choosing the best set of variables in regression analysis," Computational Optimization and Applications, Springer, vol. 46(3), pages 417-426, July.
    3. Alina Mihaela Dima & Simona Vasilache, 2016. "Credit Risk modeling for Companies Default Prediction using Neural Networks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 127-143, September.
    4. Alina Mihaela Dima, 2009. "Operational Risk Assesement Tools for Quality Management in Banking Services," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(26), pages 364-372, June.
    5. Khandani, Amir E. & Kim, Adlar J. & Lo, Andrew W., 2010. "Consumer credit-risk models via machine-learning algorithms," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2767-2787, November.
    6. Angelini, Eliana & di Tollo, Giacomo & Roli, Andrea, 2008. "A neural network approach for credit risk evaluation," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 733-755, November.
    7. Pedro N. Rodriguez & Arnulfo Rodriguez, 2006. "Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 459-479.
    8. Fitzpatrick, Trevor & Mues, Christophe, 2016. "An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market," European Journal of Operational Research, Elsevier, vol. 249(2), pages 427-439.
    9. Hiroshi Konno & Masato Saito, 2013. "Classification of companies using maximal margin ellipsoidal surfaces," Computational Optimization and Applications, Springer, vol. 55(2), pages 469-480, June.

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