Credit operation’s probability of default estimation using logistic regression and cluster analysis

Authors

  • S. S. Seredniy

Abstract

The method of credit operation’s probability of default estimation using logistic regression and cluster analysis is suggested. The example of application of this method on real sample, where proposed method was more effective in comparison with method based just on logistic regression is given.

Author Biography

S. S. Seredniy

Середній Сергій Сергійович,

аспірант Національного технічного університету України «КПІ», начальник відділу методології та звітності Управління ризиків ПАТ «СБЕРБАНК РОСІЇ», Україна, Київ

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Issue

No. 1 (2011)

Section

New methods in system analysis, computer science and theory of decision making

License

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