Using differential evolution to improve the accuracy of bank rating systems

Credit rating is the evaluation of the likelihood of an obligor to default on a loan. Each obligor in the bank's credit portfolio is assigned to a certain rating class, or PD (probability of default) bucket; all obligors in a PD bucket then receive the same “pooled” PD, based on which a capital...

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Veröffentlicht in:	Computational statistics & data analysis 2007-09, Vol.52 (1), p.68-87
Hauptverfasser:	Krink, Thiemo, Paterlini, Sandra, Resti, Andrea
Format:	Artikel
Sprache:	eng
Schlagworte:	Clustering Credit rating Differential evolution PD bucket Probability of default
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