Quantification of model risk that is caused by model misspecification

DOI10.1080/02664763.2020.1849055MaRDI QIDQ5073380zbMATH OpenOpenAlexFDO

Authors M. B. Seitshiro, H. P. Mashele

Publication date 6 May 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2020.1849055

zbMATH Keywords

binary logistic regressioncomplementary log-logmodel misspecificationprobability of default

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites work

• Assessing financial model risk
• Bankruptcy prediction by generalized additive models
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• Zero‐Altered and other Regression Models for Count Data with Added Zeros

Cited in

(1)

• Excess risk estimation under multistage model misspecification

Describes a project that uses

Uses Software

• QRM
• SMOTE

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