Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks

作者: Greta Falavigna

DOI:

关键词:

摘要: During the last three decades various models have been proposed by literature to predict risk of bankruptcy and firm insolvency. In this work there is a survey on methodologies used author for analysis default risk, taking into account several approaches suggested literature. The focus analyse Artificial Neural Networks as tool study problem verify ability classification these models. Finally, an variables introduced in Network some considerations about these.

参考文章(51)
Daniel Martin, Early warning of bank failure Journal of Banking and Finance. ,vol. 1, pp. 249- 276 ,(1977) , 10.1016/0378-4266(77)90022-X
Daniela Boetti, Secondo Rolfo, Giuseppe Calabrese, Fabrizio Erbetta, OSSERVATORIO SULLA DINAMICA ECONOMICO-FINANZIARIA DELLE IMPRESE DELLA MECCANICA SPECIALIZZATA IN PIEMONTE PRIMO RAPPORTO 1998-2001 Research Papers in Economics. ,(2003)
Dutta, Shekhar, Bond rating: a nonconservative application of neural networks IEEE 1988 International Conference on Neural Networks. pp. 443- 450 ,(1988) , 10.1109/ICNN.1988.23958
Desmond Fletcher, Ernie Goss, Forecasting with neural networks Information & Management. ,vol. 24, pp. 159- 167 ,(1993) , 10.1016/0378-7206(93)90064-Z
Loretta J. Mester, What's the point of credit scoring? The Business Review. pp. 3- 16 ,(1997)
Chris Charalambous, Andreas Charitou, Froso Kaourou, Comparative Analysis of Artificial Neural Network Models: Application in Bankruptcy Prediction Annals of Operations Research. ,vol. 99, pp. 403- 425 ,(2000) , 10.1023/A:1019292321322
Richard A Olshen, Charles J Stone, Leo Breiman, Jerome H Friedman, Classification and regression trees ,(1983)
J.C. Cosset, J. Roy, Forecasting country risk ratings using a neural network hawaii international conference on system sciences. ,vol. 4, pp. 327- 334 ,(1990) , 10.1109/HICSS.1990.205274