Logistic信用风险模型的选择与平均

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2014-06-29 DOI:10.21314/jor.2014.285

E. Hayden, A. Stomper, Arne Westerkamp

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引用次数: 2

摘要

我们评估了通过标准逐步模型选择方法和贝叶斯模型平均(BMA)获得的“平均”模型选择的logistic信用风险模型的相对性能。我们的自举分析表明，BMA应该被视为替代目前在实践中经常使用的逐步模型选择过程。

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Selection Versus Averaging of Logistic Credit Risk Models

We evaluate the relative performance of logistic credit risk models that were selected by means of standard stepwise model selection methods and “average” models obtained by Bayesian model averaging (BMA). Our bootstrap analysis shows that BMA should be considered as an alternative to the stepwise model selection procedures that are currently often used in practice.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.