Building Different Corporate Rating Models Specialized to Improve Discrimination of Bad Borrowers and Improve Discrimination of Good Borrowers

Student: Ilishaev Semen

Supervisor: Mikhail Vyacheslavovich Pomazanov

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Final Grade: 8

Year of Graduation: 2021

The author proposes a new approach to the selection of variables for rating models using the previously unused metrics of classification quality, integral Gini. The author also explored the optimization of quality metrics using differential evolution. And he showed that optimization of the area under the ROC curve can be successfully applied to build rating models.

Full text (added May 11, 2021)

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