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2008-01-07Buch DOI: 10.18452/4094
The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
dc.contributor.authorZhang, Junni L.
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-15T23:35:53Z
dc.date.available2017-06-15T23:35:53Z
dc.date.created2008-01-10
dc.date.issued2008-01-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4746
dc.description.abstractWe propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive model specified by a prior and a likelihood in which the additive components are trees, and it is fitted by an iterative MCMC algorithm. Each of the trees learns a different part of the underlying function relating the dependent variable to the input variables, but the sum of the trees offers a flexible and robust model. Through several benchmark examples, we show that the BACT has excellent performance. We apply the BACT technique to classify whether firms would be insolvent. This practical example is very important for banks to construct their risk profile and operate successfully. We use the German Creditreform database and classify the solvency status of German firms based on financial statement information. We show that the BACT outperforms the logit model, CART and the Support Vector Machine in identifying insolvent firms.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectClassification and Regression Treeeng
dc.subjectFinancial Ratioeng
dc.subjectMisclassification Rateeng
dc.subjectAccuracy Ratioeng
dc.subject.ddc330 Wirtschaft
dc.titleThe Bayesian Additive Classification Tree Applied to Credit Risk Modelling
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10083049
dc.identifier.doihttp://dx.doi.org/10.18452/4094
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue3
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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