Credit rating is the evaluation of the likelihood of an obligor to default on a loan. Each obligor in the bank’s credit portfolio isassigned to a certain rating class, or PD (probability of default) bucket; all obligors in a PD bucket then receive the same “pooled”PD, based on which a capital charge against credit risk must be computed. The only analytical approach to this problem is basedon k-means and has some limitations in practice. An error minimization approach to credit rating using differential evolution (DE)is introduced. The performances of DE and other common search heuristics are compared using credit rating data of a major Italianbank. Empirical results show that DE is clearly superior compared to a genetic algorithm (GA), particle swarm optimization (PSO),random search (RS) and two naïve partitioning approaches. Moreover, the proposed approach obtained better results than k-meansin much less runtime for a simplified instance of the problem where within-groups variances can be used for clustering.
Using Differential Evolution to improve the accuracy of bank rating systems / Krink, T; Paterlini, Sandra; Resti, A.. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - STAMPA. - 52(2007), pp. 68-87.
Data di pubblicazione: | 2007 |
Titolo: | Using Differential Evolution to improve the accuracy of bank rating systems |
Autore/i: | Krink, T; Paterlini, Sandra; Resti, A. |
Autore/i UNIMORE: | |
Rivista: | |
Volume: | 52 |
Pagina iniziale: | 68 |
Pagina finale: | 87 |
Codice identificativo ISI: | WOS:000249912400007 |
Codice identificativo Scopus: | 2-s2.0-34548264343 |
Citazione: | Using Differential Evolution to improve the accuracy of bank rating systems / Krink, T; Paterlini, Sandra; Resti, A.. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - STAMPA. - 52(2007), pp. 68-87. |
Tipologia | Articolo su rivista |
File in questo prodotto:
File | Descrizione | Tipologia | |
---|---|---|---|
7_krink_paterlini_compstat_final copy.pdf | Post-print dell'autore (bozza post referaggio) | Administrator Richiedi una copia |

I documenti presenti in Iris Unimore sono rilasciati con licenza Creative Commons Attribuzione - Non commerciale - Non opere derivate 3.0 Italia, salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris