Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults
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References listed on IDEAS
- D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
- Eleonora Bartoloni & Maurizio Baussola, 2014.
"Financial Performance in Manufacturing Firms: A Comparison Between Parametric and Non-Parametric Approaches,"
Palgrave Macmillan;National Association for Business Economics, vol. 49(1), pages 32-45, January.
- Eleonora Bartoloni & Maurizio Baussola, 2012. "Financial performance in manufacturing firms: a comparison between parametric and non parametric approaches," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali dises1282, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
- NEP-BAN-2011-09-22 (Banking)
- NEP-ECM-2011-09-22 (Econometrics)
- NEP-ORE-2011-09-22 (Operations Research)
- NEP-RMG-2011-09-22 (Risk Management)
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