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Empirical Bayes analysis of the commercial loan evaluation process

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  • Leonard, Kevin J.

Abstract

In this paper, logistic regression models containing random effects are explored as a means of simulating the decision process of commercial loan officers. Empirical Bayes estimates, determined with the EM Algorithm, are calculated for the random parameters. Analysis of data from a major Canadian bank is presented.

Suggested Citation

  • Leonard, Kevin J., 1993. "Empirical Bayes analysis of the commercial loan evaluation process," Statistics & Probability Letters, Elsevier, vol. 18(4), pages 289-296, November.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:4:p:289-296
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    Cited by:

    1. Thomas, Lyn C., 2000. "A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers," International Journal of Forecasting, Elsevier, vol. 16(2), pages 149-172.
    2. Okumu Argan Wekesa & Mwalili Samuel & Mwita Peter, 2012. "Modelling Credit Risk for Personal Loans Using Product-Limit Estimator," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 22-32, January.

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