Enhanced Decision Support in Credit Scoring Using Bayesian Binary Quantile Regression
Download full text from publisher
Other versions of this item:
- V L Miguéis & D F Benoit & D Van den Poel, 2013. "Enhanced decision support in credit scoring using Bayesian binary quantile regression," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(9), pages 1374-1383, September.
References listed on IDEAS
- Len Umantsev & Victor Chernozhukov, 2001. "Conditional value-at-risk: Aspects of modeling and estimation," Empirical Economics, Springer, vol. 26(1), pages 271-292.
- Omar Arias & Walter Sosa-Escudero & Kevin F. Hallock, 2001.
"Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data,"
Springer, vol. 26(1), pages 7-40.
- Omar Arias & Kevin F. Hallock & Walter Sosa Escudero, 1999. "Individual Heterogeneity in the Returns to Schooling: Instrumental Variables Quantile Regression using Twins Data," Department of Economics, Working Papers 016, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Robert F. Engle & Simone Manganelli, 2004.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Li, Ming-Yuan Leon & Miu, Peter, 2010. "A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 818-833, September.
- Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
- Gregory Kordas, 2006. "Smoothed binary regression quantiles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 387-407.
- Gilbert W. Bassett Jr. & Hsiu-Lang Chen, 2001. "Portfolio style: Return-based attribution using quantile regression," Empirical Economics, Springer, vol. 26(1), pages 293-305.
- Moshe Buchinsky, 1998. "The dynamics of changes in the female wage distribution in the USA: a quantile regression approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 1-30.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Buchinsky, Moshe, 1994. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression," Econometrica, Econometric Society, vol. 62(2), pages 405-458, March.
- Kahn, Lawrence M, 1998. "Collective Bargaining and the Interindustry Wage Structure: International Evidence," Economica, London School of Economics and Political Science, vol. 65(260), pages 507-534, November.
- Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:jss:jstsof:v:076:i07 is not listed on IDEAS
- Hussein Hashem & Veronica Vinciotti & Rahim Alhamzawi & Keming Yu, 2016. "Quantile regression with group lasso for classification," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 10(3), pages 375-390, September.
- repec:spr:svcbiz:v:11:y:2017:i:4:d:10.1007_s11628-016-0332-3 is not listed on IDEAS
More about this item
KeywordsCredit Scoring; Quantile regression; Classification; Bayesian estimation; Markov Chain Monte Carlo;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
- NEP-BAN-2012-11-03 (Banking)
- NEP-FOR-2012-11-03 (Forecasting)
- NEP-RMG-2012-11-03 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rug:rugwps:12/803. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nathalie Verhaeghe). General contact details of provider: http://edirc.repec.org/data/ferugbe.html .