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

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dc.contributor.authorAlp, Ozge Sezgin
dc.contributor.authorBuyukbebeci, Erkan
dc.contributor.authorCekic, Aysegul Iscanoglu
dc.contributor.authorOzkurt, Fatma Yerlikaya
dc.contributor.authorTaylan, Pakize
dc.contributor.authorWeber, Gerhard-Wilhelm
dc.date.accessioned2024-04-24T16:10:59Z
dc.date.available2024-04-24T16:10:59Z
dc.date.issued2011
dc.departmentDicle Üniversitesien_US
dc.description14th International Congress on Computational and Applied Mathematics (ICCAM) -- SEP 29-OCT 02, 2009 -- Antalya, TURKEYen_US
dc.description.abstractIn 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. (C) 2010 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.cam.2010.04.039
dc.identifier.endpage4651en_US
dc.identifier.issn0377-0427
dc.identifier.issn1879-1778
dc.identifier.issue16en_US
dc.identifier.scopus2-s2.0-79958265821
dc.identifier.scopusqualityQ1
dc.identifier.startpage4639en_US
dc.identifier.urihttps://doi.org/10.1016/j.cam.2010.04.039
dc.identifier.urihttps://hdl.handle.net/11468/15214
dc.identifier.volume235en_US
dc.identifier.wosWOS:000292946700016
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Computational and Applied Mathematics
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectFinancial Mathematicsen_US
dc.subjectSovereign Defaultsen_US
dc.subjectEmerging Marketsen_US
dc.subjectCarten_US
dc.subjectGamen_US
dc.subjectLogistic Regressionen_US
dc.subjectRegularizationen_US
dc.subjectMarsen_US
dc.subjectCmarsen_US
dc.subjectContinuous Optimizationen_US
dc.subjectConic Quadratic Programmingen_US
dc.titleCMARS and GAM & CQP-Modern optimization methods applied to international credit default predictionen_US
dc.titleCMARS and GAM & CQP-Modern optimization methods applied to international credit default prediction
dc.typeConference Objecten_US

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