Integrating Seasonal Oscillations into Basel II Behavioral Scoring Models
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- Goran Klepac, 2008. "Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes," Financial Theory and Practice, Institute of Public Finance, vol. 32(4), pages 461-476.
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Keywordscredit scoring; REF II; time series analyze; data mining; temporal influence; seasonal oscillation; Basel II;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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