Credit risk assessment with Bayesian model averaging

DOI10.1080/03610926.2016.1212070zbMATH Open1380.62244OpenAlexW2518999372MaRDI QIDQ4597992FDOQ4597992

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

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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)

Cited In (10)

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• Credit risk analysis using boosting methods
• Identifying future defaulters: a hierarchical Bayesian method
• Bayesian analysis of structural credit risk models with microstructure noises
• Behavioral technology credit scoring model with time-dependent covariates for stress test
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• 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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