Selection vs. Averaging of Logistic Credit Risk Models

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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Year of publication:	2011
Authors:	Hayden, Evelyn
Other Persons:	Stomper, Alex (contributor) ; Westerkamp, Arne (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Kreditrisiko \| Credit risk \| Logistik \| Logistics \| Lieferkette \| Supply chain

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 12, 2010 erstellt
Other identifiers:	10.2139/ssrn.1724124 [DOI]
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013132274