VALIDATION PROCESS FOR SCORING AND RATING MODELS USING NEURAL NETWORKS

Anatoliy Antonov and Ventsislav Nikolov

Economy & Business Journal, 2018, vol. 12, issue 1, 95-104

Abstract: This research paper investigates the validation and calibration of models for determination of credit scoring and rating with statistical methods. This is done through a comparison of the results of the model to an alternative model, based on a neural network, and a calculation of different statistical parameters. A prototype of a software system for analysis and evaluations is represented that calculates distance, standard deviation, correlation, cumulative accuracy profile (CAP), as well as accumulation and analysis of historical statistics for default losses.

Keywords: credit rating; scoring; validation; analysis; calibration; neural networks (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:isp:journl:v:12:y:2018:i:1:p:95-104

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