engleski

Integrating Seasonal Oscillations into Basel II Behavioural Scoring Models

Behavioural scoring models are integral parts of the Basel II standard on Internal Ratings- Based Approaches (IRB). The IRB approach much more precisely reflects individual risk bank profile. A solution of the problem of how to analyze and integrate macroeconomic and microeconomic factors represented in time series into behavioural scorecard models are shown by using the REF II model.

Credit scoring, REF II, time series analyze, data mining, temporal influence, seasonal oscillation, Basel II

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