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VDM Verlag Prognose der Kreditausfalls wahrscheinlichkeit: Mit künstlichen neuronalen Netzen

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Description

Seit Menschengedenken zählt das Risiko zu den Grundinteressen der kaufmännischen Entscheidungstheorie. Durch das Thema Basel II hat das Feld der Prognose der Kreditausfallswahrscheinlichkeit neuen Auftrieb erhalten. Verfahren der Artificial Intelligence bestechen durch höhere Prognosegenauigkeit, haben allerdings den Nachteil mangelnder Transparenz. Einige Autoren sprachen sogar von Black Boxen. Der Autor bringt mittels Self Organizing Maps Licht ins Dunkel und zeigt vor, dass hier sehr wohl ein bestimmter Grad an Transparenz möglich ist. Basel II meets Artificial Intelligence. Auf einer soliden Basis werden in der Open Source Software R vollautomatisch tausende Modelle mit nichtlinearen Verfahren (neuronale Netze sowie SVMs) berechnet, getestet und analysiert, um anschließend die performantesten zu einem künstlichen Expertengremium, einem sogenannten ,,Board of Artificial Experts" zusammenzufassen. Mit der Analyse der Unterschiede der Prognoseergebnisse wird ein entscheidender quantitativer Indikator gewonnen.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
05 February 2010
Listed Since
10 February 2010

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