Probability of default: a machine learning application

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.


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.


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


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