A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve

DOI10.1007/s10100-011-0224-5zbMath1339.91125OpenAlexW2019925018MaRDI QIDQ300815

Efsun Kürüm, Kasirga Yildirak, Gerhard-Wilhelm Weber

Publication date: 29 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-011-0224-5

zbMATH Keywords

nonlinear programmingfinanceregressionpenalty methodsrisk management

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (5)

Bipolar fuzzy based least squares twin bounded support vector machine ⋮ Smoothing Levenberg-Marquardt algorithm for solving non-Lipschitz absolute value equations ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis ⋮ Maximization of AUC and buffered AUC in binary classification ⋮ Sample size determination for logistic regression

Cites Work

• Primal-dual nonlinear rescaling method for convex optimization
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• New approaches to regression by generalized additive models and continuous optimization for modern applications in finance, science and technology
• A method for the solution of certain non-linear problems in least squares
• The elements of statistical learning. Data mining, inference, and prediction
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve