Mira Antonietta () (Department of Economics, University of Insubria, Italy) Tenconi Paolo () (University of Switzerland)
Abstract
We develop a Bayesian hierarchical logistic regression model to predict the credit risk of companiers classified in different sectors. Explanatory variables derived by experts from balance-sheets are included. Markov chain Monte Carlo (MCMC) methods are used to estimate the proposed model. In particular we show how the delaying rejection strategy outperforms the standart Metrtopolis-Hastings algorithm in terms of asymptotic efficiency of the resulting estimates. The advantages of our over others proposed in the literature are discussed and tested via cross-validation procedures.
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