Home  Journals  Finance and Credit  1(433) - 2011 January

Comparison of neural net and statistical credit risk estimation methods

Available online: 18 January 2011

Subject Heading: CREDIT RISKI

JEL Classification: 

The research actuality is defined by the necessity of an effective credit risk control system creation, which is meeting the Basel II requirements. Comparative analysis of neural net and statistical methods as approaches to credit risk estimation is carried out in present article. The models using neural net and statistical modeling techniques are offered. Approbation of models on the actual information about borrowers is realized.

Keywords: credit scoring, credit rating, solvency, probability of default, discriminant analysis, neural network

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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