Quotation 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..


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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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Publication's profile

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 (Details)
External
Hayden, Evelyn (OeNB, Austria)
Stomper, Alexander (IHS & Uni Wien & MIT, Austria)
Organization
Institute for Finance, Banking and Insurance IN (Details)
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