Does Non-linearity Matter in Retail Credit Risk Modelling?

In this research we propose a new method for retail credit risk modeling. In order to capture possible non-linear relationships between credit risk and explanatory variables, we use a learning vector quantization (LVQ) neural network The model was estimated on a dataset from Slovenian banking sector...

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Bibliographic details
Volume: 61
Main Author: Jagric, Vita
Kracun, Davorin
Jagric, Timotej
Format: Journal Article
Language: English
Place of publication: PRAGUE 2 CHARLES UNIV-PRAGUE 01.01.2011
Charles University Prague, Faculty of Social Sciences
Charles University, Faculty of Social Sciences
published in: Finance a úvěr Vol. 61; no. 4; pp. 384 - 402
Data of publication: 2011-01-01
ISSN: 0015-1920
EISSN: 2464-7683
Discipline: Business
Series: Czech Journal of Economics and Finance (Finance a uver)
Online Access: Fulltext
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2011
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