A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
DOI10.1007/S10100-011-0224-5zbMATH Open1339.91125OpenAlexW2019925018MaRDI QIDQ300815FDOQ300815
Authors: Efsun Kürüm, Kasirga Yildirak, Gerhard-Wilhelm Weber 
Publication date: 29 June 2016
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-011-0224-5
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Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Cites Work
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- New approaches to regression by generalized additive models and continuous optimization for modern applications in finance, science and technology
- An Algorithm for Least-Squares Estimation of Nonlinear Parameters
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Cited In (12)
- On multi-class prediction of issuer credit ratings
- Classification using optimization: application to credit ratings of bonds
- CMARS and GAM \& CQP-modern optimization methods applied to international credit default prediction
- Using differential evolution to improve the accuracy of bank rating systems
- On assessing the relative performance of default predictions
- Bipolar fuzzy based least squares twin bounded support vector machine
- Sample size determination for logistic regression
- MURAME parameter setting for creditworthiness evaluation: data-driven optimization
- Maximization of AUC and buffered AUC in binary classification
- Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
- Optimization heuristics for determining internal rating grading scales
- Smoothing Levenberg-Marquardt algorithm for solving non-Lipschitz absolute value equations
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