A neural network approach for credit risk evaluation

The Quarterly Review of Economics and Finance - Tập 48 - Trang 733-755 - 2008
Eliana Angelini1, Giacomo di Tollo2, Andrea Roli3
1DASTA, Università degli Studi “G. D’Annunzio” Chieti-Pescara, Viale Pindaro 42, I-65127 Pescara, Italy
2Dipartimento di Scienze, Università degli Studi “G. D’Annunzio” Chieti-Pescara, Viale Pindaro 42, I-65127 Pescara, Italy
3DEIS, Campus of Cesena, Università di Bologna, Via Venezia 52, I-47023 Cesena, Italy

Tài liệu tham khảo

Allen, L., DeLong, G., & Saunders, A.(2003). Issues in the credit risk modelling of retail markets. February. Working paper n. S-FI-03-03. Altman, 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 13 Altman, 1994, Corporate distress diagnosis: Comparison using linear discriminant analysis and neural networks, Journal of Banking and Finance, 18, 10.1016/0378-4266(94)90007-8 Atiya, 2001, Bankruptcy prediction for credit risk using neural networks: A survey and new results, IEEE Transactions on Neural Networks, 12, 10.1109/72.935101 Badiru, 1998, Neural networks as a simulation metamodel in economic analysis of risky projects, European Journal of Operational Research, 105, 10.1016/S0377-2217(97)00029-5 Baker, 1999, A comparison of conventional linear regression methods and neural networks for forecasting educational spending, Economics of Education Review, 18, 10.1016/S0272-7757(99)00003-5 Basel Committee on Banking Supervision. 1999. Credit risk modelling: Current practice and applications. Basel: Bank for International Settlement Pubblications. Basel Committee on Banking Supervision. 2000. Overview of conceptual approaches to credit risk modelling. Basel: Bank for International Settlement Pubblications. Basel Committee on Banking Supervision. 2005. International convergence of capital measurement and capital standards. A revised framework. Basel: Bank for International Settlements. Blum, 2003, Metaheuristics in Combinatorial Optimization: Overview and Conceptual Comparison, ACM Computing Surveys, 35, 268, 10.1145/937503.937505 Boritz, 1995, Effectiveness of neural networks types for prediction of business failure, Expert System with Applications, 9 Caouette, 1998 Chen, 2003, Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock Index, Computers & Operations Research, 30, 10.1016/S0305-0548(02)00037-0 Coats, 1993, Recognizing financial distress patterns using a neural network tool, Financial Management, 22, 10.2307/3665934 Desai, 1998, A comparison of linear regression and neural network methods for predicting excess return on large stocks, Annals of Operational Research, 78 Fan, A., & Palaniswami, M. 2000. A new approach to corporate loan default prediction from financial statements. In: Proocedings of CF–FFM. Fernandez, A., & Gomez, S. 2005. Portfolio selection using neural networks. Computers & Operations Research. Galindo, 2000, Credit risk assessment using statistical and machine learning: Basic methodology and risk modeling applications, Computational Economics, 15, 10.1023/A:1008699112516 Hamid, 2004, Using neural networks for forecasting volatility of S & P 500 Index futures prices, Journal of Business Research, 57, 10.1016/S0148-2963(03)00043-2 Han, 2000 Heravi, 2004, Linear versus neural network forecast for European industrial production series, International Journal of Forecasting, 20 Hykin, 1999 Kaastra, 1996, Designing a Neural network for forecasting financial and economic time series, Neurocomputing, 10, 10.1016/0925-2312(95)00039-9 Kim, 2004, Usefulness of artificial neural networks for early warning system of economic crisis, Expert System with Applications, 26, 10.1016/j.eswa.2003.12.009 Kirkpatrick, 1983, Optimization simulated-annealing, Science, 220, 671, 10.1126/science.220.4598.671 Kryzanowsky, 1993, Using Artificial Neural network to pick stocks, Financial Analysts Journal, 17 Lam, 2004, Neural network techniques for financial performance prediction: Integrating fundamental and technical analysis, Decision Support System, 37, 10.1016/S0167-9236(03)00088-5 McDonough, W. J. 2003. Risk management, supervision and the New Basel Accord. BIS Review (5). Meyer, 2000, Why risk management is important for global financial institutions?, BIS Review, 68 Mitchell, 1998 Moshiri, 1999, Static, dynamic and hybrid neural networks in forecasting inflaction, Computational Economics, 14, 10.1023/A:1008752024721 Odon, 1990, A neural network for bankrupcy prediction Pang, 2002, Credit scoring model based on neural network Piramuthu, 1999, Financial credit-risk evaluation with neural and neurofuzzy systems, European Journal of Operational Research, 112, 10.1016/S0377-2217(97)00398-6 Rong-Zhou, 2002, Neural network credit-risk evaluation model based on back-propagation algorithm Rotundo, 2004, Neural networks for large financial crashes forecast, Physica, 344 Ferguson, R. W. 2001. Credit risk management: Models and judgment. BIS Review (85). Salchenberger, 1992, Neural networks: A new tool for predictiong thrift failures, Decision Science, 23, 10.1111/j.1540-5915.1992.tb00425.x Saunders, 1999 Shazly, 1999, Forecasting currency prices using a genetically evolved neural network architecture, International Review of Financial Analysis, 8, 10.1016/S1057-5219(99)00006-X Steiner, 1997, Portfolio optimization with a neural network implementation of the coherent market hypothesis, European Journal of Operational Research, 1, 27, 10.1016/S0377-2217(95)00339-8 Tam, 1992, Managerial applications of neural networks: The case of bank failure predictions, Management Science, 38, 10.1287/mnsc.38.7.926 Tkacz, 2001, Neural network forecasting of Canadian GPD growth, International Journal of Forecasting, 17, 10.1016/S0169-2070(00)00063-7 Vellido, 1999, Neural networks in business: A survey of applications (1992–1998), Expert System with Applications, 17, 51, 10.1016/S0957-4174(99)00016-0 Werbos, P. 1988. Backpropagation, past and future. In: Proceedings of the IEEE international conference on neural networks. IEEE Press. White, H. 1988. Economic prediction using neural networks: The case of IBM daily stock returns. In: Proceedings of the second IEEE international conference on neural networks. Wooldridge, 2002 Wu, 2000, A neural network approach for analyzing small business lending decisions, Review of Quantitative Finance and Accounting, 15, 10.1023/A:1008324023422 Yang, 1999, Probabilistic neural networks in bankrupcy prediction, Journal of Business Research, 44, 10.1016/S0148-2963(97)00242-7 Zimmermann, 1999, Active portfolio-management with neural networks