Credit risk assessment with Bayesian model averaging

DOI10.1080/03610926.2016.1212070MaRDI QIDQ4597992zbMATH OpenOpenAlexFDO

Authors Silvia Figini, Paolo Giudici

Publication date 15 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1212070

zbMATH Keywords

logistic regressionBayesian model averagingcredit risk modelspredictive performance

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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(10)

• scientific article; zbMATH DE number 2127975 (Why is no real title available?)
• Credit risk analysis using boosting methods
• Identifying future defaulters: a hierarchical Bayesian method
• Bayesian analysis of structural credit risk models with microstructure noises
• A new mixture model for the estimation of credit card exposure at default
• Behavioral technology credit scoring model with time-dependent covariates for stress test
• Assessing naïve Bayes as a method for screening credit applicants
• Bayeslan Credit Ratings
• Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
• Using the BMA in the logistic regression model and comparison with other model selection criteria

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