Analyzing credit risk data: a comparison of logistic discrimination, classification tree analysis, and feedforward networks

MaRDI QIDQ1966033zbMATH OpenFDO

Authors Gerhard Arminger, Daniel Enache, Thorsten Bonne

Publication date 2 March 2000

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

artificial neural networksclassification treesprediction

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Neural nets and related approaches to inference from stochastic processes (62M45) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Three different discrimination techniques are applied and compared by analyzing a complex data set of credit risks. They are logistic discriminant analysis, classification tree analysis, and a special type of artificial neural networks, that is feedforward networks. It turns out that in the given test sample the predictive power is about equal for all techniques but the logistic discrimination as the best technique.

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(9)

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