Default probabilities in a corporate bank portfolio: a logistic model approach.

DOI10.1016/S0377-2217(01)00045-5zbMath1051.91040OpenAlexW2091416646WikidataQ128053948 ScholiaQ128053948MaRDI QIDQ5952439

Nico van der Wijst, Sjur Westgaard

Publication date: 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(01)00045-5

zbMATH Keywords

Logistic regressionBankingDefault probabilitiesRisk management

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (10)

Technology scoring model for reflecting evaluator's perception within confidence limits ⋮ Optimization strategy of credit line management for credit card business ⋮ Decision-making, risk and corporate governance: a critique of methodological issues in bankruptcy/recovery prediction models ⋮ Large-Scale Loan Portfolio Selection ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Evaluating corporate bonds with complicated liability structures and bond provisions ⋮ Mining the customer credit using classification and regression tree and multivariate adaptive regression splines ⋮ Decision-making, risk and corporate governance: new dynamic models/algorithms and optimization for bankruptcy decisions ⋮ A logistic regression model for consumer default risk ⋮ The influence of the business cycle on bankruptcy probability

Uses Software

• SAS

Cites Work

• A survey of business failures with an emphasis on prediction methods and industrial applications
• Business failure prediction using rough sets
• A multicriteria decision aid methodology for sorting decision problems: The case of financial distress
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