Please use this identifier to cite or link to this item: http://arl.liuc.it/dspace/handle/2468/4072
Title: Credit risk measurement and ethical issue: some evidences from the Italian banks
Authors: Bramante, Riccardo
Nai Ruscone, Marta
Spani, Pasquale
Issue Date: 2013
Publisher: Cleup
Bibliographic citation: Bramante Riccardo, Nai Ruscone Marta, Spani Pasquale (2013), Credit risk measurement and ethical issue: some evidences from the Italian banks. In: Minerva Tommaso, Morlini Isabella, Palumbo Francesco, eds. (2013), Cladag 2013: 9th meeting of the classification and data analysis group.
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.
URI: http://arl.liuc.it/dspace/handle/2468/4072
Journal/Book: Cladag 2013: 9th meeting of the classification and data analysis group
ISBN: 978-88-6787-117-9
Appears in Collections:Contributo in atti di convegno

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