Credit Risk Analysis rate SME

Presentation
Why internal rating models?
Why AIRES?
The Rating System
Some results from French market
Online Application

Why internal rating models?

Why AIRES?
AIRES consists of a set of tools to estimate PDs and rate SME according to credit risk. AIRES is:
Accurate
Powerful
Robust
Simple

Accurate Source: Vieira, A.S., Neves, J.C.: Improving Bankruptcy Prediction with Hidden Layer Learning. Vector Quantization. European Accounting Review, 15 (2), 253-271 (2006). Method Classification Weighted Efficiency (%) Z-score (Altman) 62.7 Best Discriminant 66.1 MLP 71.4 Our Method 84.1

Comparison with Z-Score

???Robust???

Enhanced Visualization

Powerful methods
AIRES us a set cutting edge technologies to get the most precise and robust results from your data:
Pre-processing (Genetic Algorithms & NMF)
Classification (HLVQ, SVM and SVM+)
Scoring & Rating
Visualization

The Rating System

French market - 2006

AIRES in action

Score (EBIT, Current ratio)

Score (EBIT, Assets/Turnover)

Credit Risk Analysis rate SME

by Armando Vieira on Jun 28, 2010

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Credit Risk Analysis rate SME — Presentation Transcript