The Bayesian additive classification tree applied to credit risk modelling

DOI10.1016/J.CSDA.2009.11.022MaRDI QIDQ962375zbMATH OpenOpenAlexFDO

Authors Junni L. Zhang, Wolfgang K. Härdle

Publication date 6 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-003.pdf

zbMATH Keywords

accuracy ratioclassification and regression treefinancial ratiomisclassification rate

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• BART: Bayesian additive regression trees
• Bayesian additive regression trees with model trees
• Log-linear Bayesian additive regression trees for multinomial logistic and count regression models
• A Bayesian CART algorithm
• scientific article; zbMATH DE number 1983958

Cites work

• A Bayesian CART algorithm
• A decision-theoretic generalization of on-line learning and an application to boosting
• BART: Bayesian additive regression trees
• Complete statistical theory of learning
• Greedy function approximation: A gradient boosting machine.
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• Least angle regression. (With discussion)
• Modeling default risk with support vector machines
• Random forests
• Stochastic gradient boosting.

Cited in

(14)

• Using parametric classification trees for model selection with applications to financial risk management
• Bayesian additive regression trees with model trees
• Atheoretical regression trees for classifying risky financial institutions
• Smoothing and adaptation of shifted Pólya tree ensembles
• Establishing decision tree-based short-term default credit risk assessment models
• Cost-Sensitive Extensions for Global Model Trees: Application in Loan Charge-Off Forecasting
• Estimating Classification Uncertainty of Bayesian Decision Tree Technique on Financial Data
• BART-based inference for Poisson processes
• Bayesian additive regression trees for genotype by environment interaction models
• Multinomial probit Bayesian additive regression trees
• BART: Bayesian additive regression trees
• AddiVortes: (Bayesian) Additive Voronoi Tessellations
• Accounting for shared covariates in semiparametric Bayesian additive regression trees
• Bayesian additive regression trees and the general BART model

Describes a project that uses

Uses Software

• UCI
• BayesTree
• AdaBoost.MH
• BayesDA
• bootstrap
• BartPy

This page was built for publication: The Bayesian additive classification tree applied to credit risk modelling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q962375)