Hayden, Evelyn, Stomper, Alexander, Westerkamp, Arne. 2009. Selection vs. Averaging of Logistic Credit Risk Models. 24. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 2009, Wien, Österreich, 04.12.-05.12..
BibTeX
Abstract
We evaluate the relative performance of logistic credit risk mod- els 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 stepwise model selection procedures.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Paper presented at an academic conference or symposium |
| Language | English |
| Title | Selection vs. Averaging of Logistic Credit Risk Models |
| Event | 24. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 2009 |
| Year | 2009 |
| Date | 04.12.-05.12. |
| Country | Austria |
| Location | Wien |
| URL | http://www.bwg.at/bwg/bwg_v3.nsf/sysPages/F067896618C6D754C125752300308439/$file/Call_for_Papers.pdf |
Associations
- People
- Westerkamp, Arne (Former researcher)
- External
- Hayden, Evelyn (OeNB, Austria)
- Stomper, Alexander (IHS & Uni Wien & MIT, Austria)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)