In this contribution we propose to estimate the probability of financial default of companies and the correlated rating classes, using efficiently the information contained in different databases. In this respect, we propose a novel approach, based on the recursive usage of Bayes theorem, that can be very helpful in integrating default estimates obtained from different sets of covariates. Our approach is ordinal and nonparametric
Non parametric models for credit risk assessment
CERCHIELLO, PAOLA;GIUDICI, PAOLO STEFANO
2012-01-01
Abstract
In this contribution we propose to estimate the probability of financial default of companies and the correlated rating classes, using efficiently the information contained in different databases. In this respect, we propose a novel approach, based on the recursive usage of Bayes theorem, that can be very helpful in integrating default estimates obtained from different sets of covariates. Our approach is ordinal and nonparametricFile in questo prodotto:
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