0000000000394035
AUTHOR
María Bonilla
showing 4 related works from this author
Efficient Diversification of International Investments: The Spanish Point of View
1999
The search for the best investments in a return-risk framework has led the investors to the portfolio diversification. The domestic markets liberalisation and a increasingly financial market integration, have made the investors to exceed the national barriers in order to get the international diversification of their portfolios.
An Application of Hybrid Models in Credit Scoring
2000
The predictive capability of parametric and non-parametric models in solving problems related to financial classification has been widely proved in empirical research carried out in the financial field, particulary in problems like bond rating, bankruptcy prediction and credit scoring. However, recently, it has been shown that a combination of different models generally reduces the prediction error, so that the best alternative to consider may not be a specific model but a combination of them. In this paper, we study hybrid systems based on the aggregation of individual (parametric and nonparametric) models. Our hybrids are built by using both parametric and non parametric models as the sys…
Modelos Paramétricos y no Paramétricos en Problemas deCredit Scoring
2003
RESUMENDada la importancia creciente que esta cobrandose la actividad crediticia en la gestion diaria de los bancos, comienza a ser imprescindible la utilizacion de modelos de clasificacion automaticos que faciliten la concesion o no del credito solicitado con alto grado de exactitud, de manera que permita reducir la morosidad.En el trabajo que presentamos se realiza un exhaustivo estudio de la capacidad predictiva de dos modelos parametricos (Analisis Discriminante y Logit) y cinco no parametricos (Arboles de regresion, Redes Neuronales Artificiales, Algoritmo C4.5, Splines de Regresion Adaptativa Multivariante y Regresion Localmente Ponderada) en un problema de concesion de tarjetas de cr…
Forecasting Exchange Rates Volatilities Using Artificial Neural Networks
2000
This paper employs Artificial Neural Networks to forecast volatilities of the exchange rates of six currencies against the Spanish peseta. First, we propose to use ANN as an alternative to parametric volatility models, then, we employ them as an aggregation procedure to build hybrid models. Though we do not find a systematic superiority of ANN, our results suggest that they are an interesting alternative to classical parametric volatility models.