Μοντέλα βαθμολόγησης συμπεριφοράς στα πλαίσια της Βασιλείας
Behavioural scoring models in the Basel framework
KeywordsΑνάλυση επιβίωσης ; Μέθοδοι μηχανικής μάθησης ; Λογιστική παλινδρόμηση ; Πιστωτικός κίνδυνος ; P2P δάνεια
Credit risk for a financial institution focuses on the possibility of a loss resulting from a borrower's failure to or meet contractual obligations. The accurate assessment and measurement of credit risk forms a basis for the institution to price and manage various credit risk exposures. Loan valuation modeling is one of the activities institutions should undertake for risk portfolio management. In this thesis we give a short overview of the Basel framework, which credit institutions have to comply with. Following this section, in the next chapter we present the basic principles and features of survival analysis. In the third section, we list the default forecasting models used to evaluate and predict the default of a loan and the time of default. The task is completed by applying the models to real data and presenting the results of each model. We investigate the usage of some of these methods and their performance on a data set from a Peer-to-peer (P2P) lending company, “Lending Club”. Before building a forecasting model we will provide the theoretical background of default forecasting models and survival analysis.