Abstract Details
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Activity Number:
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488
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Type:
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Contributed
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Date/Time:
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Wednesday, August 7, 2013 : 8:30 AM to 10:20 AM
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Sponsor:
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Society for Risk Analysis
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| Abstract - #307968 |
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Title:
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Selection of Optimal Threshold Using Cost and Revenue Matrix
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Author(s):
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Hui Gong*+ and Jingru Chen and Jayanta Das
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Companies:
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Valparaiso University and Temple University and Barclays Bank
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Keywords:
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Credit Re-assessment ;
Profit Function ;
Creditworthiness ;
Normal-Normal Model ;
Optimal Threshold
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Abstract:
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This paper focuses on the credit re-assessment and locates an optimal threshold. The Profit Function is applied to derive this optimal threshold, under the Normal-Normal model assumption. An empirical example of payoff matrices is used to demonstrate this optimal threshold.
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Authors who are presenting talks have a * after their name.
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