Evaluating probability of default: Intelligent agents in managing a multi-model system

Authors:
Igor Perko;Miro Gradisar;Samo Bobek
Affiliations:
Faculty of Economics and Business, University of Maribor, Slovenia;Faculty of Economics, University of Ljubljana, Slovenia;Faculty of Economics and Business, University of Maribor, Slovenia
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

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Abstract

For the successful probability of default (PD) evaluation with the application of multiple prediction models two issues should be addressed: the accuracy of the analytic models which decreases over time and the evaluation of results which must be presented in a uniform shape. To deal with these two issues, a multi-agent system (MAS) and knowledge management systems (KMS) based process management system is proposed. The proposed system has two goals: to prevent the PD information quality deterioration by active management of analytical processes and to provide a universal access point allowing the simultaneous use of multiple prediction models.