Default probabilities in a corporate bank portfolio: a logistic model approach.

DOI10.1016/S0377-2217(01)00045-5MaRDI QIDQ5952439zbMATH OpenOpenAlexWikidataFDO

Authors Sjur Westgaard, Nico van der Wijst

Publication date 2001

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(01)00045-5

zbMATH Keywords

BankingDefault probabilitiesLogistic regressionRisk management

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A multicriteria decision aid methodology for sorting decision problems: The case of financial distress
• A survey of business failures with an emphasis on prediction methods and industrial applications
• Business failure prediction using rough sets
• scientific article; zbMATH DE number 3837235 (Why is no real title available?)
• scientific article; zbMATH DE number 1242247 (Why is no real title available?)

Cited in

(21)

• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• Evaluating corporate bonds with complicated liability structures and bond provisions
• Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
• Technology scoring model for reflecting evaluator's perception within confidence limits
• Decision-making, risk and corporate governance: new dynamic models/algorithms and optimization for bankruptcy decisions
• What is at stake in the construction and use of credit scores?
• Large-Scale Loan Portfolio Selection
• A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
• scientific article; zbMATH DE number 2127975 (Why is no real title available?)
• Default estimation and expert information
• Optimization strategy of credit line management for credit card business
• The influence of the business cycle on bankruptcy probability
• Credit risk: simple closed-form approximate maximum likelihood estimator
• Modeling lifetime expected credit losses on bank loans
• Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
• Hurdle models of loan default
• A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES
• A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios
• A logistic regression model for consumer default risk
• Fifty years at the interface between financial modeling and operations research
• Decision-making, risk and corporate governance: a critique of methodological issues in bankruptcy/recovery prediction models

Describes a project that uses

Uses Software

• SAS

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