Prediction of default probability by using statistical models for rare events
(2019)
Journal Article
Ogundimu, E. O. (2019). Prediction of default probability by using statistical models for rare events. Journal of the Royal Statistical Society: Series A, 182(4), 1143-1162. https://doi.org/10.1111/rssa.12467
Prediction models in credit scoring usually involve the use of data sets with highly imbalanced distributions of the event of interest (default). Logistic regression, which is widely used to estimate the probability of default, PD, often suffers from... Read More about Prediction of default probability by using statistical models for rare events.