Using differential evolution to improve the accuracy of bank rating systems

DOI10.1016/J.CSDA.2007.02.011zbMath1452.62935OpenAlexW2053279544MaRDI QIDQ1020789

Sandra Paterlini, Andrea Resti, Thiemo Krink

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.02.011

zbMATH Keywords

clusteringcredit ratingdifferential evolutionprobability of defaultPD bucket

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (10)

A self-adaptive differential evolution algorithm based on ant system with application to estimate kinetic parameters ⋮ Learning non-monotonic additive value functions for multicriteria decision making ⋮ Optimization heuristics for determining internal rating grading scales ⋮ A hybrid differential evolution algorithm integrated with an ant system and its application ⋮ Evolutionary Computation for Modelling and Optimization in Finance ⋮ An augmented Lagrangian fish swarm based method for global optimization ⋮ Differential evolution and combinatorial search for constrained index-tracking ⋮ Editorial: 2nd special issue on applications of optimization heuristics to estimation and modelling problems ⋮ Maximum entropy and least square error minimizing procedures for estimating missing conditional probabilities in Bayesian networks ⋮ An evolutionary approach to construction of outranking models for multicriteria classification: the case of the ELECTRE TRI method

Cites Work

• Differential evolution and particle swarm optimisation in partitional clustering
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
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