Credit rating prediction using Ant Colony Optimization

@article{Martens2010CreditRP,
  title={Credit rating prediction using Ant Colony Optimization},
  author={David Martens and Tony Van Gestel and Manu De Backer and Raf Haesen and Jan Vanthienen and Bart Baesens},
  journal={JORS},
  year={2010},
  volume={61},
  pages={561-573}
}
The introduction of the Basel II Capital Accord has encouraged financial institutions to build internal rating systems assessing the credit risk of their various credit portfolios. One of the key outputs of an internal rating system is the probability of default (PD), which reflects the likelihood that a counterparty will default on his/her financial obligation. Since the PD modeling problem basically boils down to a discrimination problem (defaulter or not), one may rely on the myriad of… CONTINUE READING
Highly Cited
This paper has 20 citations. REVIEW CITATIONS