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Selection of optimal threshold and n...

Chen, Jingru.

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Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application./
作者:	Chen, Jingru.
面頁冊數:	95 p.
附註:	Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: .
Contained By:	Dissertation Abstracts International72-04B.
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3440062
ISBN:	9781124465098

Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application.
Chen, Jingru.

Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application. - 95 p.

Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: .

Thesis (Ph.D.)--Temple University, 2011.

The ongoing financial crisis has had major adverse impact on the credit market. As the financial crisis progresses, the skyrocketing unemployment rate puts more and more customers in such a position that they cannot pay back their credit debts. The deteriorating economic environment and growing pressures for revenue generation have led creditors to re-assess their existing portfolios. The credit re-assessment is to accurately estimate customers' behavior and distill information for credit decisions that differentiate bad customers from good customers. Lending institutions often need a specific rule for defining an optimal cut-off value to maximize revenue and minimize risk.

ISBN: 9781124465098Subjects--Topical Terms:

517247
Statistics.

Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application.
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245 1 0 $a Selection of optimal threshold and near-optimal interval using profit function and roc curve: A risk management application.
300 $a 95 p.
500 $a Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: .
500 $a Adviser: Francis Hsuan.
502 $a Thesis (Ph.D.)--Temple University, 2011.
520 $a The ongoing financial crisis has had major adverse impact on the credit market. As the financial crisis progresses, the skyrocketing unemployment rate puts more and more customers in such a position that they cannot pay back their credit debts. The deteriorating economic environment and growing pressures for revenue generation have led creditors to re-assess their existing portfolios. The credit re-assessment is to accurately estimate customers' behavior and distill information for credit decisions that differentiate bad customers from good customers. Lending institutions often need a specific rule for defining an optimal cut-off value to maximize revenue and minimize risk.
520 $a In this dissertation research, I consider a problem in the broad area of credit risk management: the selection of critical thresholds, which comprises of the "optimal cut-off point" and an interval containing cut-off points near the optimal cut-off point (a "near-optimal interval"). These critical thresholds can be used in practice to adjust credit lines, to close accounts involuntarily, to re-price, etc. Better credit re-assessment practices are essential for banks to prevent loan loss in the future and restore the flow of credit to entrepreneurs and individuals.
520 $a The Profit Function is introduced to estimate the optimal cut-off and the near-optimal interval, which are used to manage the credit risk in the financial industry. The credit scores of the good population and bad population are assumed from two distributions, with the same or different dispersion parameters. In a homoscedastic Normal-Normal model, a closed-form solution of optimal cut-off and some properties of optimal cut-off are provided for three possible shapes of the Profit Functions. The same methodology can be generalized to other distributions in the exponential family, including the heteroscedastic Normal-Normal Profit Function and the Gamma-Gamma Profit Function. It is shown that a Profit Function is a comprehensive tool in the selection of critical thresholds, and its solution can be found using easilyimplemented computing algorithms.
520 $a The estimation of near-optimal interval is developed in three possible shapes of the bi-distributional Profit Function. The optimal cut-off has a closed-form formula, and the estimation results of near-optimal intervals can be simplified to this closed-form formula when the tolerance level is zero.
520 $a Two nonparametric methods are introduced to estimate critical thresholds if the latent risk score is not from some known distribution. One method uses the Kernel density estimation method to derive a tabulated table, which is used to estimate the values of critical thresholds. A ROC Graphical method is also developed to estimate critical thresholds.
520 $a In the theoretical portion of the dissertation, we use Taylor Series and the Delta method to develop the asymptotic distribution of the non-constrained optimal cut-off. We also use the Kernel density estimator to derive the asymptotic variance of the Profit function.
590 $a School code: 0225.
650 4 $a Statistics. $3 517247
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0463
690 $a 0770
710 2 $a Temple University. $b Statistics. $3 1672726
773 0 $t Dissertation Abstracts International $g 72-04B.
790 1 0 $a Hsuan, Francis, $e advisor
790 1 0 $a Hsuan, Francis $e committee member
790 1 0 $a Raghavarao, Damaraju $e committee member
790 1 0 $a Parnes, Milton $e committee member
790 1 0 $a Liu, Jiawei $e committee member
790 $a 0225
791 $a Ph.D.
792 $a 2011
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3440062