Application of Data Envelopment Analysis to Calculating Probability of Default for High Rated Portfolio

• Authors: U. Grzybowska , M. Karwański
• Languages of publication: EN

Abstracts

EN

The aim of our research is to propose a method of rating companies which is based on efficiency measure given by Data Envelopment Analysis (DEA). Proper rating of borrowers is an essential requirement of PD estimation. The difficulty in DEA application is the selection of input and output from the set of indicators describing evaluated objects, which is usually based on expert knowledge. Therefore we apply random forests and gradient boosting to select financial indicators used by the DEA approach and to obtain a ranking of companies needed for PD estimation.

Keywords

EN

89.65.Gh; 88.05.Lg

Discipline

• 88.05.Lg: Economic issues; sustainability; cost trends
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2015
• Volume: 127
• Issue: 3A
• Pages: A-66-A-69

Dates

published

2015-03

Contributors

author

U. Grzybowska

• Department of Informatics, Faculty of Applied Informatics and Mathematics, Warsaw University of Life Sciences, Nowoursynowska 159, PL-02776 Warszawa, Poland

author

M. Karwański

• Department of Informatics, Faculty of Applied Informatics and Mathematics, Warsaw University of Life Sciences, Nowoursynowska 159, PL-02776 Warszawa, Poland

References

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Identifiers

DOI

10.12693/APhysPolA.127.A-66