Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks
AbstractDuring the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency. In this work there is a survey on the methodologies used by the author for the analysis of default risk, taking into account several approaches suggested by the literature. The focus is to analyse the Artificial Neural Networks as a tool for the study of this problem and to verify the ability of classification of these models. Finally, an analysis of variables introduced in the Artificial Neural Network models and some considerations about these.
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Bibliographic InfoPaper provided by Institute for Economic Research on Firms and Growth - Moncalieri (TO) in its series CERIS Working Paper with number 200610.
Length: 35 pages
Date of creation: Dec 2006
Date of revision:
Artificial Neural Networks; Hybrid neural network models Expert Systems; Default; Bankruptcy; Rating Systems; Credit scoring models;
Find related papers by JEL classification:
- B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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