Quotation Hayden, Evelyn, Stomper, Alex, Westerkamp, Arne. 2014. Selection versus averaging of logistic credit risk models. Journal of Risk 16 (5), 39-52.


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Abstract

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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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Risk
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, WH-B
Language English
Title Selection versus averaging of logistic credit risk models
Volume 16
Number 5
Year 2014
Page from 39
Page to 52
Reviewed? Y
URL http://www.risk.net/journal-of-risk/technical-paper/2347969/selection-versus-averaging-of-logistic-credit-risk-models
DOI http://dx.doi.org/10.21314/JOR.2014.285

Associations

People
Westerkamp, Arne (Former researcher)
External
Hayden, Evelyn (Raiffeisen Bank International, Austria)
Stomper, Alex (Humboldt University, Germany)
Organization
Institute for Finance, Banking and Insurance IN (Details)
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