Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk.
Yi-Ping ChangChih-Tun YuPublished in: Comput. Stat. (2014)
Keyphrases
- confidence intervals
- credit risk
- credit risk evaluation
- risk analysis
- evaluation method
- sample size
- credit scoring
- conditional probabilities
- commercial banks
- markov chain
- monte carlo
- bayesian networks
- stochastic systems
- listed companies
- test set
- financial data
- decision making
- roc curve
- evaluation model
- logistic regression
- fraud detection
- exchange rate
- text mining
- machine learning