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Fifth International Conference on Hybrid Intelligent Systems (HIS'05)
On a Ranking Problem Associated with Basel II
Rio de Janeiro, Brazil
December 06-December 09
ISBN: 0-7695-2457-5
Bernd-Juergen Falkowski, University of Applied Sciences Stralsund
Perceptron learning is discussed in the context of socalled scoring systems used for assessing creditworthiness as stipulated in the Basel II central banks capital accord of the G10-states. The solution of a related ranking problem using a generalized version of the pocket algorithm is described. A correctness proof of the algorithm is given. It is argued that the reuslts obtained may be exploited to compute associated probabilities using a logistic activation function and maximum likelihood methods. Some preliminary experimental results are exhibited.
Citation:
Bernd-Juergen Falkowski, "On a Ranking Problem Associated with Basel II," his, pp.201-205, Fifth International Conference on Hybrid Intelligent Systems (HIS'05), 2005
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