Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
A statistical modeling approach to building an expert credit risk rating system
Rasmus Waagepetersen
Abstract
ABSTRACT
This paper presents an efficient method for extracting expert knowledge when building a credit risk rating system. Experts are asked to rate a sample of counterparty cases according to creditworthiness. Next, a statistical model is used to capture the relation between the characteristics of a counterparty and the expert rating. For any counterparty the model can identify the rating, which would be agreed upon by the majority of experts. Furthermore, the model can quantify the concurrence among experts. The approach is illustrated by a case study regarding the construction of an application score for retail counterparties.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
