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On a Ranking Problem Associated with Basel II

Author

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  • Bernd-Juergen Falkowski

    (University of Applied Sciences Stralsund, Department of Economics, Zur Schwedenschanze 15, D-18435 Stralsund, Germany)

Abstract

Perceptron learning is discussed in the context of so-called scoring systems used for assessing creditworthiness as stipulated in the Basel II central banks capital accord of the G10-states. The solution of a related ranking problem using a generalised version of the pocket algorithm is described. A correctness proof of the algorithm is given. It is argued that the results obtained may be exploited to compute associated probabilities using a logistic activation function and maximum likelihood methods. Some experimental results concerning an Excel implementation and a Java prototype are exhibited.

Suggested Citation

  • Bernd-Juergen Falkowski, 2006. "On a Ranking Problem Associated with Basel II," Journal of Information & Knowledge Management (JIKM), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 281-289.
    • Handle: RePEc:wsi:jikmxx:v:05:y:2006:i:04:n:s0219649206001542
    DOI: 10.1142/S0219649206001542
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