Please use this identifier to cite or link to this item:
|Publication type:||Article in scientific journal|
|Type of review:||Peer review (publication)|
|Title:||Network based credit risk models|
Hadji Misheva, Branka
|Published in:||Quality Engineering|
|Publisher / Ed. Institution:||Taylor & Francis|
|Subjects:||Credit scoring model; Network model; Peer-to-peer lending|
|Subject (DDC):||332: Financial economics|
|Abstract:||Peer-to-Peer lending platforms may lead to cost reduction, and to an improved user experience. These improvements may come at the price of inaccurate credit risk measurements, which can hamper lenders and endanger the stability of a financial system. In the article, we propose how to improve credit risk accuracy of peer to peer platforms and, specifically, of those who lend to small and medium enterprises. To achieve this goal, we propose toaugment traditional credit scoring methods with “alternative data” that consist of centralitymeasures derived from similarity networks among borrowers, deduced from their financialratios. Our empirical findings suggest that the proposed approach improves predictiveaccuracy as well as model explainability.|
|Fulltext version:||Published version|
|License (according to publishing contract):||CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International|
|Departement:||School of Engineering|
|Organisational Unit:||Institute of Data Analysis and Process Design (IDP)|
|Appears in collections:||Publikationen School of Engineering|
Files in This Item:
|2019_Giudici-etal_Network-based-credit-risk-models.pdf||2.53 MB||Adobe PDF|
Show full item record
Giudici, P., Hadji Misheva, B., & Spelta, A. (2019). Network based credit risk models. Quality Engineering, 32(2), 199–211. https://doi.org/10.1080/08982112.2019.1655159
Giudici, P., Hadji Misheva, B. and Spelta, A. (2019) ‘Network based credit risk models’, Quality Engineering, 32(2), pp. 199–211. Available at: https://doi.org/10.1080/08982112.2019.1655159.
P. Giudici, B. Hadji Misheva, and A. Spelta, “Network based credit risk models,” Quality Engineering, vol. 32, no. 2, pp. 199–211, 2019, doi: 10.1080/08982112.2019.1655159.
Giudici, Paolo, et al. “Network Based Credit Risk Models.” Quality Engineering, vol. 32, no. 2, 2019, pp. 199–211, https://doi.org/10.1080/08982112.2019.1655159.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.