Consulting project for Banco Invest: development of internal rating model - performance comparison with other logit models in literature

• Autor(a) principal: Santos, Gonçalo Nuno De Bourbon Faria E Rodrigues Dos
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/105860
• topic: Credit risk; Default predictio; Logit model; Performance comparison; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

In this work, a comparison of the model developed in the group work and adaptations of other models presented in literature is performed using the group work dataset. Probabilities of default for one, two, three, four and five-year horizons were estimated, conditional on the survival until the previous year, using each model, these probabilities were then aggregated into five-year cumulative probabilities. The estimated probabilities were then used to compare the models’ performance, out-of-sample, using the deciles and AUROC methods. The group model is shown to have the best performance among the models compared.