Downloads provided by UsageCounts
doi: 10.2139/ssrn.2892650
handle: 10419/79602
Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into fundamentals of credit risk analysis. Default prediction and default predictor selection are two related issues, but many existing approaches address them separately. We employed a unified procedure, a regularization approach with logit as an underlying model, which simultaneously selects the default predictors and optimizes all the parameters within the model. We employ Lasso and elastic-net penalty functions as regularization approach. The methods are applied to predict default of companies from industry sector in Southeast Asian countries. The empirical result exhibits that the proposed method has a very high accuracy prediction particularly for companies operating Indonesia, Singapore, and Thailand. The relevant default predictors over the countries reveal that credit risk analysis is sample specific. A few number of predictors result in counter intuitive sign estimates.
ddc:330, Predictor selection, 330 Wirtschaft, ddc:310, Default risk, Predictor selection, logit, Lasso, Elastic-net, Elastic-net, 310 Sammlungen allgemeiner Statistiken, C61, logit, Default risk, C13, G33, Lasso, jel: jel:C61, jel: jel:C13, jel: jel:G33
ddc:330, Predictor selection, 330 Wirtschaft, ddc:310, Default risk, Predictor selection, logit, Lasso, Elastic-net, Elastic-net, 310 Sammlungen allgemeiner Statistiken, C61, logit, Default risk, C13, G33, Lasso, jel: jel:C61, jel: jel:C13, jel: jel:G33
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 1 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
| views | 95 | |
| downloads | 55 |

Views provided by UsageCounts
Downloads provided by UsageCounts