Traditionally, credit scoring aimed at distinguishing good payers from bad payers at the time of the application. The timing when customers default is also interesting to investigate since it can provide the bank with the ability to do profit scoring. Analysing when customers default is...

he Basel II capital accord encourages financial institutions to develop rating systems for assessing the risk of default of their credit portfolios in order to better calculate the minimum regulatory capital needed to cover unexpected losses. In the internal ratings based approach, financial...

In recent years, Support Vector Machines (SVMs) were successfully applied to a wide range of applications. Their good performance is achieved by an implicit non-linear transformation of the original problem to a high-dimensional (possibly infinite) feature space in which a linear decision...