Chapter 7

Embedded Predictor Selection for Default Risk Calculation: A Southeast Asian Industry Study

Wolfgang Karl Härdlea, c and Dedy Dwi Prastyoa, b,    aHumboldt-Universität zu Berlin, Ladislaus von Bortkiewicz Chair of Statistics, Center for Applied Statistics and Economics (C.A.S.E.), Unter den Linden 6, 10099 Berlin, Germany,    bDepartment of Statistics, Institut Teknologi Sepuluh Nopember (ITS), Jl. Arief Rahman Hakim, Sukolilo, Surabaya 60111, Indonesia,    cLee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899    E-mail: haerdle@wiwi.hu-berlin.deprastyod@hu-berlin.dededy-dp@statistika.its.ac.id

Abstract

Default risk estimation is a core business of rating agencies. Banks and other ...

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