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Validation Process For Scoring And Rating Models Using Neural Networks

Author

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  • Anatoliy Antonov
  • Ventsislav Nikolov

Abstract

This research paper investigates the validation and calibration of models for determination of credit scoring and rating with statistical methods. This is done through a comparison of the results of the model to an alternative model, based on a neural network, and a calculation of different statistical parameters. A prototype of a software system for analysis and evaluations is represented that calculates distance, standard deviation, correlation, cumulative accuracy profile (CAP), as well as accumulation and analysis of historical statistics for default losses.

Suggested Citation

  • Anatoliy Antonov & Ventsislav Nikolov, 2018. "Validation Process For Scoring And Rating Models Using Neural Networks," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 12(1), pages 95-104.
  • Handle: RePEc:isp:journl:v:12:y:2018:i:1:p:95-104
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    More about this item

    Keywords

    credit rating; scoring; validation; analysis; calibration; neural networks;
    All these keywords.

    JEL classification:

    • A - General Economics and Teaching

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