CMARS and GAM & CQP-Modern optimization methods applied to international credit default prediction

Date

2011-06-15

Author

Alp, Ozge Sezgin
Buyukbebeci, Erkan
Cekic, Aysegul Iscanoglu
Ozkurt, Fatma Yerlikaya
TAYLAN, PAKİZE
Weber, Gerhard Wilhelm

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In this paper, we apply newly developed methods called GAM & CQP and CMARS for country defaults. These are techniques refined by us using Conic Quadratic Programming. Moreover, we compare these new methods with common and regularly used classification tools, applied on 33 emerging markets' data in the period of 1980-2005. We conclude that GAM & CQP and CMARS provide an efficient alternative in predictions. The aim of this study is to develop a model for predicting the countries' default possibilities with the help of modern techniques of continuous optimization, especially conic quadratic programming. We want to show that the continuous optimization techniques used in data mining are also very successful in financial theory and application. By this paper we contribute to further benefits from model-based methods of applied mathematics in the financial sector. Herewith, we aim to help build up our nations.

Subject Keywords

Applied Mathematics, Computational Mathematics

URI

https://hdl.handle.net/11511/51299

Journal

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

DOI

https://doi.org/10.1016/j.cam.2010.04.039

Collections

Graduate School of Applied Mathematics, Article

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Citation Formats

O. S. Alp, E. Buyukbebeci, A. I. Cekic, F. Y. Ozkurt, P. TAYLAN, and G. W. Weber, “CMARS and GAM & CQP-Modern optimization methods applied to international credit default prediction,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, pp. 4639–4651, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/51299.