Optimization heuristics for determining internal rating grading scales

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2693-2706

  Lyra, M ^a   Paha, J ^a   Paterlini, S ^b   Winker, P ^a  

^a JUSTUS LIEBIG UNIVERSITY   (Germany)

^b UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

BASEL II; CLUSTERING PROBLEMS; CREDIT PORTFOLIO; DEFAULT RISK; DIFFERENTIAL EVOLUTION; GRADING SCALE; K-MEANS; OPTIMAL NUMBER; OPTIMIZATION HEURISTICS; REAL-WORLD; SEARCH HEURISTICS; THRESHOLD ACCEPTING;

EVOLUTIONARY ALGORITHMS; HEURISTIC ALGORITHMS; LAWS AND LEGISLATION; OPTIMIZATION;

CLUSTERING ALGORITHMS;

EID: 77955276029     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.03.004     Document Type: Article

References (13)

1. Basel Committee on Banking Supervision, 2005. An explanatory note on the Basel II IRB Risk Weight Functions, Tech. Rep., Bank for International Settlements
2. P. Brucker On the complexity of clustering problems M. Beckmenn, H. Kunzi, Optimisation and Operations Research Lecture Notes in Economics and Mathematical Systems vol. 157 1978 Springer Berlin 45 54
3. K. Deb, A. Pratap, S. Agarwal, and T. Meyarivan A fast and elitist multiobjective genetic algorithm IEEE Transactions on Evolutionary Computation 6 2 2002 182 197
4. G. Dueck, and T. Scheuer Threshold accepting: A general purpose algorithm appearing superior to simulated annealing Journal of Computational Physics 90 1990 161 175
5. S. Foglia, P. Iannotti, and P.M. Reedtz The definition of the grading scales in banks' internal rating systems Economic Notes 30 3 2001 421 456
6. M. Gilli, and P. Winker Applications of optimization heuristics to estimation and modelling problems Computational Statistics & Data Analysis 47 2004 211 223
7. D.L. Hunt, C. Chenga, and S. Poundsr The beta-binomial distribution for estimating the number of false rejections in microarray gene expression studies Computational Statistics & Data Analysis 53 2009 1688 1700
8. Kiefer, N., Larson, C., 2004. Evaluating design choices in economic capital modeling: A loss function approach, Cornell University, Office of the Controller of the Currency
9. T. Krink, S. Paterlini, and A. Resti Using differential evolution to improve the accuracy of bank rating systems Computational Statistics & Data Analysis 52 1 2007 68 87
10. T. Krink, S. Paterlini, and A. Resti The optimal structure of PD buckets Journal of Banking and Finance 32 10 2008 421 456
11. S. Paterlini, and T. Krink Differential evolution and particle swarm optimization in partitional clustering Computational Statistics & Data Analysis 50 5 2006 1220 1247
12. P. Winker Optimization heuristics in econometrics: Applications of Threshold Accepting 2001 Wiley Chichester
13. P. Winker, and K.-T. Fang Application of threshold accepting to the evaluation of the discrepancy of a set of points SIAM Journal on Numerical Analysis 34 1997 2028 2042