Credit risk measurement and ethical issue: some evidences from the italian banks

Marta Nai Ruscone, Riccardo Bramante, Pasquale Spani

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper gives a contribution in variable identification within credit scoring models using Random Forest. Specifically, we provide some insights about the behavior of the variable importance index based on random forests, focusing on the differences between “for-profit” and “not-for-profit” enterprises. We investigate two classical issues of variable selection: the first one is variable extraction for bankruptcy interpretation, whereas the second one is more restrictive and tries to design a good prediction model. Finally we provide an application to a real data set provided by Banca Popolare Etica.
Original languageEnglish
Title of host publicationCladag 2013. 9th Meeting of the Classification and Data Analysis Group. Book of Abstracts
Pages1-4
Number of pages4
Publication statusPublished - 2013
EventCladag 2013. - Milano
Duration: 18 Sep 201320 Sep 2013

Conference

ConferenceCladag 2013.
CityMilano
Period18/9/1320/9/13

Keywords

  • Ethical Dimension
  • Random Forest
  • Variable Importance Measure

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