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CONSTRAINTS
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Economics of credit scoring management
PublicationCredit scoring models constitute an inevitable element of modern risk and profitability management in retail financial lending institutions. Quality,or separation power of a credit scoring model is usually assessed with the Gini coefficient. Generally, the higher Gini coefficient the better, as in this way a bank can increase number of good customers and/or reject more bad applicants. In...
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Credit default swaps and banks
PublicationThis chapter aims to explore the evolving role of credit default swaps (CDS) in managing and transferring default risk from the perspective of banks from a holistic perspective. This chapter examines credit default swaps (CDSs) as derivative financial instruments that transfer credit risk on debt securities. While CDSs offer benefits such as risk management and risk trading, they also introduce potential systemic risks, as evidenced...
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Journal of Credit Risk
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Global Credit Review
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Credit and Capital Markets
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Hazard prevention by forced time constraints
PublicationMinimalne Zbiory Przyczyn powstałe podczas analizy Drzew Błędów wskazują zdarzenia, które jeśli nastąpią razem, mogą doprowadzić do Hazardu. W niektórych zastosowaniach opis zdarzeń może zostać poszerzony o informację czasową, wtedy zdarzenia z MZP mogą doprowadzić do Hazardu tylko jeśli wystąpi pomiędzy nimi określona zależność czasowa. W tym artykule przedstawione zostało jak informacja czasowa może zostać wprowadzona do Drzew...
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Construction of phylogenetic trees with topological constraints
PublicationThis paper proposes a method of reconstruction of phylogenetic trees based on heuristic search with topological constraints. Using topological constraints it is possible to reduce the set of solutions as well as to enforce that the result is consistent with a given hypothesis about the evolution process within some group of species. Along with this work a number of algorithms used for phylogenetic analysis were implemented. Those...
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Interoperability Constraints in Service Selection Algorithms
PublicationIn Service Oriented Architecture, composite applications are developed by integration of existing, atomic services that may be available in alternative versions realizing the same functionality but having different Quality of Service (QoS) attributes. The development process requires effective service selection algorithms that balance profits and constraints of QoS attributes. Additionally, services operate in a heterogeneous environment,...
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The shape of an ROC curve in the evaluation of credit scoring models
PublicationThe AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the standard measures of the discriminatory power of credit scoring. Using binormal ROC curve models, we show how the shape of the curves affects the economic benefits of using scoring models with the same AUC. Based on the results, we propose that the shape parameter of the fitted ROC curve is reported...