Credit rating models: merging quantitative variables and qualitative information

Paola Cerchiello (), Paolo Giudici and Enzo Rocca
Additional contact information
Paolo Giudici: Università di Pavia
Enzo Rocca: Credito Valtellinese

BANCARIA, 2012, vol. 11, 42-50

Abstract: To estimate the probability of default of companies and the correlated rating classes, it is necessary to use efficiently the information contained in different databases. In this respect, we propose a novel approach, based on the recursive usage of Bayes theorem, that can be very helpful in integrating default estimates obtained from different sets of covariates.The application of our proposal to an Italian credit risk database shows that it performs quite efficiently, allowing to predict for each company the probability of default by averaging the covariates contribute

JEL-codes: C11 G21 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bancaria.it/en/credit-rating-models-mer ... itative-information/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:11:y:2012:m:november:p:42-50

Access Statistics for this article

BANCARIA is currently edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Bibliographic data for series maintained by Francesco Emiliano Tani ().