Credit risk management with data mining methodology:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2012
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| Schriftenreihe: | Berichte aus der Wirtschaftsinformatik
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 186 S. graph. Darst. 21 cm, 300 g |
| ISBN: | 9783844009231 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
ACKNOWLEDGMENT III
A B S T R A C T V
LIST O F F I G U R E S XI
LIST O F T A B L E S XIV
LIST O F S Y M B O L S 1
1 I N T R O D U C T I O N 1
1.1 OBJECTIVE 4
1.2 OUTLINE 6
2 B A S E L C A P I T A L A C C O R D 9
2.1 T H E BASEL CAPITAL ACCORD 10
2.2 DEFINITIONS 11
2.2.1 CREDIT RISK A N D CAPITAL REQUIREMENTS 11
2.2.2 EXPOSURE A T DEFAULT 13
2.2.3 LOSS-GIVEN-DEFAULT A N D RECOVERY R A T E 13
2.2.4 PROBABILITY OF DEFAULT 15
2.2.5 PARAMETERS OF LOCATION OF T H E LOSS DISTRIBUTION 16
2.3 BASEL II PILLARS 17
2.3.1 PILLAR I: MINIMUM CAPITAL REQUIREMENTS 17
2.3.1.1 MARKET RISK 18
2.3.1.2 CREDIT RISK 20
2.3.1.3 OPERATIONAL RISK 25
2.3.2 PILLAR II: SUPERVISORY REVIEW PROCESS 26
2.3.2.1 PRINCIPLE 1 27
2.3.2.2 PRINCIPLE 2 28
VII
HTTP://D-NB.INFO/1022014900
IMAGE 2
C O N T E N T S
2.3.2.3 PRINCIPLE 3 29
2.3.2.4 PRINCIPLE 4 30
2.3.3 PILLAR III: MARKET, DISCIPLINE 31
3 LOSS GIVEN D E F A U L T 3 5
3.1 DEFINITIONS 36
3.2 METHODS 41
3.2.1 REGRESSION 41
3.2.2 DISTRIBUTIONAL 43
3.2.3 ALTERNATIVE METHODS 46
3.3 RESULTS BY BORROWER TYPE 50
3.3.1 BONDS AND CORPORATE DEBT 50
3.3.2 CONSUMER DEBT 54
3.3.2.1 BANK LOANS 54
3.3.2.2 NON-BANK LOANS 56
4 D A T A MINING 5 9
4.1 D A T A MINING 60
4.2 D A T A MINING ALGORITHMS 63
4.2.1 DECISION TREE 63
4.2.2 ARTIFICIAL NEURAL NETWORK 67
4.2.3 DMNEURAL NETWORK TRAINING 70
4.2.4 SUPPORT VECTOR MACHINE 72
4.2.5 REGRESSION 77
4.2.6 LOGISTIC REGRESSION 81
4.2.7 B E T A REGRESSION 86
4.2.8 K-NEAREST NEIGHBOR 90
4.3 MEASURING PERFORMANCE 93
4.3.1 CROSS-VALIDATION 93
4.3.2 R O C CURVE 94
4.3.3 COEFFICIENT OF DETERMINATION (R-SQUARED) 95
4.3.4 ROOT MEAN SQUARED ERROR 96
5 S C O R E C A R D S 9 9
5.1 SCORECARD 100
5.2 FUNDAMENTALS OF SCORECARDS 102
5.3 SCORECARD-BUILDING FOR A N IRANIAN BANK 108
VIII
IMAGE 3
C O N T E N T S
6 EMPIRICAL ANALYSIS O F R E C O V E R Y R A T E 1 1 5
6.1 RECOVERY A N D COLLECTION PROCESS 118
6.2 D A T A DESCRIPTION 120
6.2.1 D A T A PROVIDER 120
6.2.2 D A T A 121
6.3 EXPLORATORY D A T A ANALYSIS 124
6.4 RECOVERY RATES MODELLING 132
6.4.1 CLASSIFYING DEBTS AS EXTREME A N D NON-EXTREME 133
6.4.1.1 MODELS-BUILDING 133
6.4.1.2 MODEL COMPARISON 145
6.4.2 CLASSIFYING EXTREME DEBTS T O FULL PAYMENT A N D N O N - P A Y M E
N T L 5 1
6.4.2.1 MODELS BUILDING 151
6.4.2.2 MODELS COMPARISON 154
6.4.3 PREDICTION OF NON-EXTREME DEBTS 160
6.4.3.1 MODELS BUILDING 160
6.4.3.2 MODELS COMPARISONS 162
6.5 CONCLUSION 167
7 C O N C L U S I O N 1 7 1
7.1 T H E MAIN ACHIEVEMENTS 171
7.2 SUGGESTION FOR FUTURE RESEARCH 173
I X
|
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| author | Nazemi, Abdolreza |
| author_facet | Nazemi, Abdolreza |
| author_role | aut |
| author_sort | Nazemi, Abdolreza |
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| bvnumber | BV040310059 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)802647024 (DE-599)DNB1022014900 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.102856312 |
| dewey-search | 332.102856312 |
| dewey-sort | 3332.102856312 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-10T00:21:20Z |
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| isbn | 9783844009231 |
| language | English |
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| spelling | Nazemi, Abdolreza Verfasser aut Credit risk management with data mining methodology Abdolreza Nazemi Aachen Shaker 2012 XIV, 186 S. graph. Darst. 21 cm, 300 g txt rdacontent n rdamedia nc rdacarrier Berichte aus der Wirtschaftsinformatik Zugl.: Karlsruhe, Karlsruher Inst. für Technologie, Diss., 2011 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Data Mining (DE-588)4428654-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Data Mining (DE-588)4428654-5 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025164866&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nazemi, Abdolreza Credit risk management with data mining methodology Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Data Mining (DE-588)4428654-5 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4114309-7 (DE-588)4428654-5 (DE-588)4113937-9 |
| title | Credit risk management with data mining methodology |
| title_auth | Credit risk management with data mining methodology |
| title_exact_search | Credit risk management with data mining methodology |
| title_full | Credit risk management with data mining methodology Abdolreza Nazemi |
| title_fullStr | Credit risk management with data mining methodology Abdolreza Nazemi |
| title_full_unstemmed | Credit risk management with data mining methodology Abdolreza Nazemi |
| title_short | Credit risk management with data mining methodology |
| title_sort | credit risk management with data mining methodology |
| topic | Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Data Mining (DE-588)4428654-5 gnd |
| topic_facet | Risikomanagement Kreditrisiko Data Mining Hochschulschrift |
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