Title :
On a ranking problem associated with Basel II
Author :
Falkowski, Bernd-Juergen
Author_Institution :
Sch. of Econ., Appl. Sci. Univ., Stralsund, Germany
Abstract :
Perceptron learning is discussed in the context of so-called scoring systems used for assessing creditworthiness as stipulated in the Basel II central banks capital accord of the G10-states. The solution of a related ranking problem using a generalized version of the pocket algorithm is described. A correctness proof of the algorithm is given. It is argued that the results obtained may be exploited to compute associated probabilities using a logistic activation function and maximum likelihood methods. Some preliminary experimental results are exhibited.
Keywords :
bank data processing; learning (artificial intelligence); maximum likelihood estimation; perceptrons; transfer functions; Basel II central banks capital accord; creditworthiness assessment; logistic activation function; maximum likelihood methods; perceptron learning; ranking problem; scoring systems; Artificial neural networks; Banking; Computer networks; Cost function; Hybrid intelligent systems; Information retrieval; Logistics; Statistical analysis; Training data;
Conference_Titel :
Hybrid Intelligent Systems, 2005. HIS '05. Fifth International Conference on
Print_ISBN :
0-7695-2457-5
DOI :
10.1109/ICHIS.2005.82
