Empirical Bayes analysis of the commercial loan evaluation process

Kevin J. Leonard

Statistics & Probability Letters, 1993, vol. 18, issue 4, 289-296

Abstract: In this paper, logistic regression models containing random effects are explored as a means of simulating the decision process of commercial loan officers. Empirical Bayes estimates, determined with the EM Algorithm, are calculated for the random parameters. Analysis of data from a major Canadian bank is presented.

Keywords: EM Algorithm random effects models logistic regression credit scoring models; commercial loans (search for similar items in EconPapers)
Date: 1993
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