Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis

DOI10.1142/9789811202391_0126zbMath1451.62111OpenAlexW3081198980MaRDI QIDQ5139575

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0126

zbMATH Keywords

discriminant analysis probit model logistic regression factor analysis default probability hazard model KMV-Merton model financial z-score Merton distance model MIDAS logit model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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