Journal of the Korean Data and Information Science Society
- 제19권3호
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- Pages.789-800
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- 2008
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- 1598-9402(pISSN)
Validation Comparison of Credit Rating Models Using Box-Cox Transformation
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Hong, Chong-Sun
(Department of Statistics, Sungkyunkwan University) ;
- Choi, Jeong-Min (Research Institute of Applied Statistics, Sungkyunkwan University)
- 발행 : 2008.08.31
초록
Current credit evaluation models based on financial data make use of smoothing estimated default ratios which are transformed from each financial variable. In this work, some problems of the credit evaluation models developed by financial experts are discussed and we propose improved credit evaluation models based on the stepwise variable selection method and Box-Cox transformed data whose distribution is much skewed to the right. After comparing goodness-of-fit tests of these models, the validation of the credit evaluation models using statistical methods such as the stepwise variable selection method and Box-Cox transformation function is explained.
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