یک مدل فرایند برای توسعه یک سیستم امتیاز داخلی: رتبه بندی اعتباری مستقل
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|48525||2006||21 صفحه PDF||سفارش دهید||13711 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Decision Support Systems, Volume 42, Issue 2, November 2006, Pages 1131–1151
The Basel II capital accord encourages financial institutions to develop rating systems for assessing the risk of default of their credit portfolios in order to better calculate the minimum regulatory capital needed to cover unexpected losses. In the internal ratings based approach, financial institutions are allowed to build their own models based on collected data. In this paper, a generic process model to develop an advanced internal rating system is presented in the context of country risk analysis of developed and developing countries. In the modelling step, a new, gradual approach is suggested to augment the well-known ordinal logistic regression model with a kernel based learning capability, hereby yielding models which are at the same time both accurate and readable. The estimated models are extensively evaluated and validated taking into account several criteria. Furthermore, it is shown how these models can be transformed into user-friendly and easy to understand scorecards.