Μοντέλα βαθμολόγησης συμπεριφοράς στα πλαίσια της Βασιλείας
Behavioural scoring models in the Basel framework
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Keywords
Ανάλυση επιβίωσης ; Μέθοδοι μηχανικής μάθησης ; Λογιστική παλινδρόμηση ; Πιστωτικός κίνδυνος ; P2P δάνειαAbstract
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.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
99Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές