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8

According to Frank Harrell's useR2010 keynote on Information Allergy: Never. Edit: And here is a long list of reasons why one should not categorize continuous variables (which is the same thing, but expressed in more statistical terms). And for completeness, here is Andrew Gelman debating the issue some more.


7

The issues pointed out in the various footnotes and references here do not seem to address this issue. There are numerous situations where detailed intelligent binning is not only appropriate, but adds value to the model. Let's break it down to the basics, which is that in a digital world every thing is categorical. We never measure AGE down to the second, ...


2

I am also not aware of any papers in this area. But having developed many such models, I can list the important steps: Decide on the target variable: usual choices are historical default data, agency ratings and expert rankings Create a sample containing the possible predictors Reduce the list with the help of some expert, e.g. exclude all the predictors ...


2

Most of the papers concern CDS spreads which you will need to convert to a PD. Paper using country specific fundamentals: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2517018 This paper uses leverage: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2361872 Another one that decomposes them against peer groups: ...


2

Have you looked at the bivariate probit model at all? Bivariate probit model with sample selection assumes that the distribution of the accepted applicant population is different from that of the rejected applicant population. That is, it is assumed that $P(default|X, rejected) \neq P(default|X, accepted)$ for some vector of ...


2

This is what Moody's does to calculate default probabilities, but I don't believe they give a whole lot of detail on their exact methodology because they sell their models as software. I quickly found this which gives a brief overview: http://www.moodysanalytics.com/~/media/Brochures/Enterprise-Risk-Solutions/RiskCalc/RiskCalcPlus-Fact-Sheet.ashx Edit- ...


1

I suggest you to start from the Altman's model, that is the basic model to implement the kind of econometric analysis you're looking for. You can find the original paper at my Dropbox public folder. After that reading, you can find a number of paper about scoring models on SSRN or Google Scholar. Moreover, I suggest you to look for all academic papers that ...


1

Bloomberg has a Default Risk model, which is similar to what you are querying. You can see a screenshot in this PDF. There you can also see the kind of variables they use. You can access it by typing DRSK at the CDS screen is Bloomberg. (If the screenshot in the PDF is not clear enough, let me know and I can post one with better resolution from Bbg) This ...



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