Browsing by Author "Prastyo, Dedy Dwi"

Now showing items 1-3 of 3

2013-08-13Diskussionspapier

Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi

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 ...
2014-09-03Diskussionspapier

Localising ForwardIntensities forMultiperiod CorporateDefault

Prastyo, Dedy Dwi; Härdle, Wolfgang Karl

Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and ...
2012-04-27Diskussionspapier

Support Vector Machines with Evolutionary Feature Selection for Default Prediction

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi; Hafner, Christian

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM ...