English, Article edition: On a Ranking Problem Associated with Basel II Bernd-Juergen Falkowski

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Bookmark: http://trove.nla.gov.au/version/133304
Physical Description
  • article
Language
  • English

Edition details

Title
  • On a Ranking Problem Associated with Basel II
Author
  • Bernd-Juergen Falkowski
Physical Description
  • article
Notes
  • Perceptron learning is discussed in the context of so-called scoring systems used for assessing creditworthiness as stipulated in the Basel II central banks capital accord of the G10-states. The solution of a related ranking problem using a generalised version of the pocket algorithm is described. A correctness proof of the algorithm is given. It is argued that the results obtained may be exploited to compute associated probabilities using a logistic activation function and maximum likelihood methods. Some experimental results concerning an Excel implementation and a Java prototype are exhibited.
  • Ranking, perceptron learning, pocket algorithm, Basel II
  • RePEc:wsi:jikmxx:v:05:y:2006:i:04:p:281-289
Language
  • English
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