文章基本信息

标题：Evaluation of empirical attributes for credit risk forecasting from numerical data
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作者：Augustinos I.Dimitras ; Stelios Papadakis ; Alexandros Garefalakis 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2017
卷号：14
期号：1
页码：9-18
DOI：10.21511/imfi.14(1).2017.01
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：In this research,the authors proposed a new method to evaluate borrowers'credit risk and quality of financial statements information provided.They use qualitative and quantitative criteria to measure the quality and the reliability of its credit customers.Under this statement,the authors evaluate 35 features that are empirically utilized for forecasting the borrowers'credit behavior of a Greek Bank.These features are initially selected according to universally accepted criteria.A set of historical data was collected and an extensive data analysis is performed by using non parametric models.Our analysis revealed that building simplified model by using only three out of the thirty five initially selected features one can achieve the same or slightly better forecasting accuracy when compared to the one achieved by the model uses all the initial features.Also,experimentally verified claim that universally accepted criteria can't be global?ly used to achieve optimal results is discussed.
关键词：credit risk;computational intelligence;management commentary;quantitative and qualitative criteria;Manage?ment Commentary Index.