Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach |
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| Authors: | Silvia Figini Roberto Savona Marika Vezzoli |
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| Affiliation: | 1. Department of Political and Social Sciences, University of Pavia, Italy;2. Department of Economics and Management, University of Brescia, Italy |
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| Abstract: | Focusing on credit risk modelling, this paper introduces a novel approach for ensemble modelling based on a normative linear pooling. Models are first classified as dominant and competitive, and the pooling is run using the competitive models only. Numerical experiments based on parametric (logit, Bayesian model averaging) and nonparametric (classification tree, random forest, bagging, boosting) model comparison shows that the proposed ensemble performs better than alternative approaches, in particular when different modelling cultures are mixed together (logit and classification tree). Copyright © 2016 John Wiley & Sons, Ltd. |
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| Keywords: | AUC competitive models dominant models ensemble models model averaging |
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