On a Ranking Problem Associated with Basel II

Bernd-Juergen Falkowski ()
Additional contact information
Bernd-Juergen Falkowski: University of Applied Sciences Stralsund, Department of Economics, Zur Schwedenschanze 15, D-18435 Stralsund, Germany

Journal of Information & Knowledge Management (JIKM), 2006, vol. 05, issue 04, 281-289

Abstract: Perceptron learning is discussed in the context of so-called scoring systems used for assessing creditworthiness as stipulated in the Basel II central banks capital accord of the G10-states. The solution of a related ranking problem using a generalised version of the pocket algorithm is described. A correctness proof of the algorithm is given. It is argued that the results obtained may be exploited to compute associated probabilities using a logistic activation function and maximum likelihood methods. Some experimental results concerning an Excel implementation and a Java prototype are exhibited.

Keywords: Ranking; perceptron learning; pocket algorithm; Basel II (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219649206001542
Access to full text is restricted to subscribers

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:wsi:jikmxx:v:05:y:2006:i:04:n:s0219649206001542

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219649206001542

Access Statistics for this article

Journal of Information & Knowledge Management (JIKM) is currently edited by Professor Suliman Hawamdeh

More articles in Journal of Information & Knowledge Management (JIKM) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().