Credit Modeling Techniques

Colin Chen
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Colin Chen: Data Science and Analytics Consultants

Chapter 3 in Practical Credit Risk and Capital Modeling, and Validation, 2024, pp 77-149 from Springer

Abstract: Abstract Credit risk modeling techniques become mature over more than a half century of developments. While modeling for credit risk could be traced back much earlier, theoretical affirmation of statistical models, for example, the multinomial logit model as a special case of the more general conditional logit model, was first provided about a half century ago (McFadden, 1974) using the random utility maximization paradigm. Since then, statistical models like the generalized linear models (GLM) have become the most popular selection in modeling credit risks, though machine learning models start to challenge that dominance in some areas in recent years. Figure 3.1 outlines the structure of various models discussed in this chapter.

Date: 2024
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DOI: 10.1007/978-3-031-52542-1_3

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