JSM 2005 Online Program

Abstract #304231

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	360
Type:	Contributed
Date/Time:	Wednesday, August 10, 2005 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #304231
Title:	A Macro Risk Analysis with Applications to the Hospital Industry Sector
Author(s):	Radu Neagu*+ and Mark Gilder
Companies:	GE Company and GE Global Research Center
Address:	1 Research Circle, Schenectady, NY, 12309, United States
Keywords:	expert system ; financial ratios ; credit risk ; underwrite
Abstract:	We are proposing a novel way of assessing the risk of an industry sector using an expert system built to model the process being used by experts underwriting credit deals in specific industry sectors. Different types of information (financial ratios, industry macro indicators, qualitative data, etc.) is aggregated using this expert system to produce a rating that assesses the risk that should be associated with the specific industry sector for which the input was collected. The model provides transparency into the rating that is calculated; that is, it provides sensitivities associated with the various inputs that go into producing the respective rating. We present two models, one that is applicable at the industry sector level and another applicable to individual credits (i.e., company level). Results from a validation study on 50 actual deals are presented and a comparison to currently used models for credit risk assessment is performed.

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