Company default prediction – DLMM internal rating model in R

Table of Contents

Most firms are sitting on data that could predict which clients are at risk or which investments are underperforming. Machine learning is the type of artificial intelligence that enables computers to learn from this existing knowledge and data.

In this demonstration case we use statistical modelling and machine learning to assess company default risk, and provide a reliable early warning signal to credit or investment teams.

Open code in R language on Github

Our open code on GitHub offers a step by step implementation in R language of the internal rating models approach presented in: De Laurentis G., Maino R. and Molteni L.,, Developing, Validating and Using Internal Ratings: Methodologies and Case Studies, 2010, John Wiley & Sons, Ltd DOI:10.1002/9780470971901

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