When borrowers default or fail to repay the lenders (banks), default–linked risks-so called credit risks do emerge. Such risks are critical to several agents like creditors, borrowing firms, and governments alike. As such, financial engineers have been putting in place some scientific...

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...

Three different discriminant techniques are applied and compared to analyze a complex data set of credit risks. A large sample is split into a training, a validation, and a test sample. The dependent variable is whether a loan is paid back without problems or not. Predictor variables are sex,...