A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve

DOI10.1007/S10100-011-0224-5MaRDI QIDQ300815zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regressionfinancenonlinear programmingrisk managementpenalty methods

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 6016067 (Why is no real title available?)
• scientific article; zbMATH DE number 5359577 (Why is no real title available?)
• scientific article; zbMATH DE number 3791104 (Why is no real title available?)
• scientific article; zbMATH DE number 1461256 (Why is no real title available?)
• scientific article; zbMATH DE number 1547349 (Why is no real title available?)
• A method for the solution of certain non-linear problems in least squares
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• New approaches to regression by generalized additive models and continuous optimization for modern applications in finance, science and technology
• Primal-dual nonlinear rescaling method for convex optimization
• The elements of statistical learning. Data mining, inference, and prediction

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
• Maximization of AUC and buffered AUC in binary classification
• MURAME parameter setting for creditworthiness evaluation: data-driven optimization
• 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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