Search Results - subject:"accuracy ratio"

Data Analysis for Risk Management – Economics, Finance and Business

Jajuga, Krzysztof (contributor); … - 2024

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Persistent link: https://www.econbiz.de/10015324884

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - In: Risks 9 (2021) 12, pp. 1-24

With the record high leverage across all segments of the (global) economy, default prediction has never been more important. The excess cash illusion created in the context of COVID-19 may disappear just as quickly as the pandemic entered our world in 2020. In this paper, instead of using any...

Persistent link: https://www.econbiz.de/10013200879

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - In: Risks : open access journal 9 (2021) 12, pp. 1-24

Persistent link: https://www.econbiz.de/10012794088

Localising forward intensities for multiperiod corporate default

Härdle, Wolfgang Karl - 2014

Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...

Persistent link: https://www.econbiz.de/10010427052

Localising Forward Intensities for Multiperiod Corporate Default

Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

Persistent link: https://www.econbiz.de/10010895343

Localising forward intensities for multiperiod corporate default

Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014

Persistent link: https://www.econbiz.de/10010403045

The predictive accuracy of credit ratings: measurement and statistical inference

Orth, Walter - 2010

commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these … the full information from censored observations. We present an alternative measure that is related to the Accuracy Ratio … but does not suffer from these drawbacks. As a second contribution, we study statistical inference for the Accuracy Ratio …

Persistent link: https://www.econbiz.de/10010304610

The predictive accuracy of credit ratings: Measurement and statistical inference

Orth, Walter - Volkswirtschaftliche Fakultät, … - 2010

Persistent link: https://www.econbiz.de/10009643208

The predictive accuracy of credit ratings: measurement and statistical inference

Orth, Walter - Seminar für Wirtschafts- und Sozialstatistik, … - 2010

Persistent link: https://www.econbiz.de/10009019653

The bayesian additive classification tree applied to credit risk modelling

Zhang, Junni L.; Härdle, Wolfgang Karl - 2008

We propose a new nonlinear classification method based on a Bayesian sum-of-trees model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive...

Persistent link: https://www.econbiz.de/10010274137