Date of Award
Summer 5-23-2011
Degree Type
Closed Thesis
Degree Name
Master of Science (MS)
Department
Mathematics and Statistics
First Advisor
Jiawei Liu
Second Advisor
Gengsheng Qin
Third Advisor
Yuanhui Xiao
Abstract
Credit Line Analysis plays a very important role in the housing market, especially with the situation of large number of frozen loans during the current financial crisis. In this thesis, we apply the methods of kernel estimate and the Receiver Operating Characteristic (ROC) curve in the credit loan application process in order to help banks select the optimal threshold to differentiate good customers from bad customers. Better choice of the threshold is essential for banks to prevent loss and maximize profit from loans. One of the main advantages of our study is that the method does not require us to specify the distribution of the latent risk score. We apply bootstrap method to construct the confidence interval for the estimate.
DOI
https://doi.org/10.57709/2101009
Recommended Citation
Zhu, Zi, "Estimation of the Optimal Threshold Using Kernel Estimate and ROC Curve Approaches." Thesis, Georgia State University, 2011.
doi: https://doi.org/10.57709/2101009