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Discriminant Analysys of Default Risk


  • Aragon, Aker


In this work discriminant analysis was applied, but firstly the variables were transformed in order to get normal distribution; and Component Analysis was applied in order to get uncorrelated factors.

Suggested Citation

  • Aragon, Aker, 2004. "Discriminant Analysys of Default Risk," MPRA Paper 1002, University Library of Munich, Germany, revised 29 Nov 2006.
  • Handle: RePEc:pra:mprapa:1002

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    More about this item


    discriminant; default risk; box cox;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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