Basel adaptive segmentation heuristics
作者： Michael S. Sossi , Gary J. Sullivan , Christopher Allan Ralph
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摘要: A system and method for identifying homogeneous risk pools used in the calculation of minimum capital requirements a number segments population portfolios is presented. An F-ratio objective function representing probability event across all calculated using an engine. input dataset that defines decision tree structure received. The maximized generic algorithm-based search engine to optimize group according one or more pools, score each pool then generated.
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