Statistical and Machine Learning for Credit Risk Parameter Modeling
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Home > Business and Economics Books > Business and Management > Statistical and Machine Learning for Credit Risk Parameter Modeling
Statistical and Machine Learning for Credit Risk Parameter Modeling

Statistical and Machine Learning for Credit Risk Parameter Modeling


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About the Book

Die Dissertation befasst sich mit der Anwendung von statistischem und maschinellem Lernen zur Modellierung der Verlustquote bei Ausfall (LGD). Im Forschungsgebiet der LGD-Modellierung gibt es eine Reihe von Fragen und Problemen, die bisher in der Literatur nicht berücksichtigt wurden. Erstens ist unklar, welche Merkmale einer LGD-Verteilung für die Prognosefähigkeit von Schätzmethoden entscheidend sind und welche Schätzmethode für die LGD-Modellierung am besten geeignet ist. Zweitens besteht ein Zielkonflikt zwischen der Transparenz und der Prognosegenauigkeit bei LGD-Schätzmethoden. Komplexe maschinelle Lernalgorithmen weisen eine bessere Vorhersageleistung auf, allerdings auf Kosten einer geringeren Erklärbarkeit. Umgekehrt bietet die lineare Regression eine hohe Interpretierbarkeit, scheint aber eine geringere Prognosegenauigkeit aufzuweisen. Um diesen Zielkonflikt zu lösen, besteht ein geeigneter Ansatz darin, die Vorhersagegenauigkeit der interpretierbaren linearen Regression durch maschinelles Lernen zu verbessern. Drittens stellt die Selektion optimaler Clustervariablen in der gruppierten Modellierung eine zu lösende Herausforderung dar. Die offenen Forschungsfragen werden in der Dissertation anhand von Kreditausfalldaten der Global Credit Data empirisch beantwortet.


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Product Details
  • ISBN-13: 9783736978799
  • Publisher: Cuvillier
  • Publisher Imprint: Cuvillier
  • Height: 210 mm
  • No of Pages: 176
  • Returnable: N
  • Spine Width: 10 mm
  • Width: 148 mm
  • ISBN-10: 3736978790
  • Publisher Date: 19 Oct 2023
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Returnable: N
  • Weight: 267 gr


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Statistical and Machine Learning for Credit Risk Parameter Modeling
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