Caporale, Alessandro Giuseppe (A.A. 2020/2021) Probability of default: a machine learning application. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 110. [Master's Degree Thesis]

Full text for this thesis not available from the repository.

Abstract/Index

Basel accords. Considerations about Basel I. Considerations about Basel II. Basel III and Basel IV. Credit scoring models. Linear discriminant analysis. Altman's Z-score. Estimanting probability of default. Logistic regression. Support vector machine. Decision tree. Bayes' theorem. K-nearest neighbour. Feature reduction: principal component analysis and linear discriminant analysis. Considerations regarding credit scoring models. Purpose of the thesis. data pre-processing. Logistic regression. support vector machine. Random forest.

References

Bibliografia: pp. 93-94.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	Asset pricing
Thesis Supervisor:	Porchia, Paolo
Thesis Co-Supervisor:	Laura, Luigi
Academic Year:	2020/2021
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	17 Dec 2021 15:25
Last Modified:	17 Dec 2021 15:25
URI:	https://tesi.luiss.it/id/eprint/30977

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