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Using differential evolution to improve the accuracy of bank rating systems

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  • Krink, Thiemo
  • Paterlini, Sandra
  • Resti, Andrea

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4N49VDD-1/2/c3fd2c80161a5cfd7a972e8386055cbc
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2007)
Issue (Month): 1 (September)
Pages: 68-87

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Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:68-87

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
  2. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
  3. Ongena, Steven & Smith, David C., 2000. "What Determines the Number of Bank Relationships? Cross-Country Evidence," Journal of Financial Intermediation, Elsevier, vol. 9(1), pages 26-56, January.
  4. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
  5. Paterlini, Sandra & Krink, Thiemo, 2006. "Differential evolution and particle swarm optimisation in partitional clustering," Computational Statistics & Data Analysis, Elsevier, vol. 50(5), pages 1220-1247, March.
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Cited by:
  1. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008. "Optimization Heuristics for Determining Internal Rating Grading Scales," Center for Economic Research (RECent) 023, University of Modena and Reggio E., Dept. of Economics.
  2. Marianna Lyra & Akwum Onwunta & Peter Winker, 2010. "Threshold Accepting for Credit Risk Assessment and Validation," Working Papers 039, COMISEF.
  3. Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
  4. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
  5. Pendharkar, Parag C., 2008. "Maximum entropy and least square error minimizing procedures for estimating missing conditional probabilities in Bayesian networks," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3583-3602, March.
  6. Thiemo Krink & Sandra Paterlini, 2011. "Multiobjective optimization using differential evolution for real-world portfolio optimization," Computational Management Science, Springer, vol. 8(1), pages 157-179, April.
  7. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.

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