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

Marta Nai Ruscone, Riccardo Bramante, Pasquale Spani

Risultato della ricerca: Contributo in libroContributo a convegno

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.
Lingua originaleEnglish
Titolo della pubblicazione ospiteCladag 2013. 9th Meeting of the Classification and Data Analysis Group. Book of Abstracts
Pagine1-4
Numero di pagine4
Stato di pubblicazionePubblicato - 2013
EventoCladag 2013. - Milano
Durata: 18 set 201320 set 2013

Convegno

ConvegnoCladag 2013.
CittàMilano
Periodo18/9/1320/9/13

Keywords

  • Ethical Dimension
  • Random Forest
  • Variable Importance Measure

Fingerprint

Entra nei temi di ricerca di 'Credit risk measurement and ethical issue: some evidences from the italian banks'. Insieme formano una fingerprint unica.

Cita questo