Modelling credit risk with GLMs

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In this video, I talk about how to use generalised linear models (GLMs) to analyse credit risk - or any risk where the dependent variable is a category rather than a value. I describe what a GLM is, and show how they can be fitted in both Excel and R

Опубликовано:

19 сен 2024

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Комментарии : 9

@junal27 7 месяцев назад

Excellent presentation and content when fitting your model with xcell, thank you for your time in explaning this and the rest of your videos for those who are neither mathematicians nor actuaries, definetivelly I am subscribing to your channel.

@basitsaleem4262 5 месяцев назад

Many Thanks :) The practical aspect to the videos is indeed very helpful. Do you plan to share the data templates used within the videos? That will help in reconciling the results.

@sgirishrao 6 месяцев назад

Many many thanks for the truly superb videos... please provide the data files as well if possible.

@user-go2ql3xv2q 10 месяцев назад

Thank you for a great video. Is there a way to acquire the data files that you have used in the demonstration? So that I can arrive at the same, or atleast similar answer.

@PaulSweeting 10 месяцев назад

Let me see what I can do - I use slightly different versions for the various examples, so they'd need some tidying up! I'll link them here if I can get them into a shareable format...

@brownbakani 10 месяцев назад

Good day sir, Any update on the data files?

@user-go2ql3xv2q 9 месяцев назад

Good Day Professor, please don't worry about the data files. I'm taking part in a credit risk course at PwC in between actuarial exams, so I have plenty of data files to work with. Your video has been great help, may I suggest another follow up video on Weight of Evidence (WoE)?@@PaulSweeting