文章基本信息

标题：ASSESSMENT OF CREDIT LOSSES BASED ON ARIMA-WAVELET METHOD
本地全文：下载
作者：JAMIL J. JABER ; NORISZURA ISMAIL ; SITINORAFIDAHMOHD RAMLI 等
期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2020
卷号：98
期号：9
页码：1379-1392
出版社：Journal of Theoretical and Applied
摘要：The aim of this paper is to estimate and forecast the loss-given defaults (LGD) using a sample data of credit portfolio loan collected from a bank in Jordan for the period up from January 2010 to December 2014. We use a wavelet-inspired analysis to convert the original observations into a time-scale domain. Then, we combine the wavelettransform with the ARIMA (Auto-Regressive Integrated Moving Average) model to get an ARIMA-WT new model to forecast the LGD data time series.We evaluate four wavelet functions, which are Haar (Haar), Daubechies (d4), least Asymmetric (La8), and Coiflet (C6). The numerical results show that the ARIMA-WT is more accurate than the pure ARIMA and the other considered ARIMA-Wavelet transform based models. We consider several metrics (MAPE, MASE, RMSE, AIC, AICs and BIC) to measure the performance of our proposed model. The combination between ARIMA-WT and La8 function improves highly the forecasting accuracy. According to our findings, we can say that the resulting forecast model is able to produce a high quality result.
关键词：CREDIT RISK;LGD;WT;ARIMA;FORECASTING.