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A0400
Title: Variable selection in estimating bank default Authors:  Marialuisa Restaino - University of Salerno (Italy)
Marcella Niglio - University of Salerno (Italy) [presenting]
Francesco Giordano - University of Salerno (Italy)
Abstract: The crisis of the first decade of the 21st century has definitely changed the approaches used to analyze data originated from financial markets. This break and the growing availability of information have lead to revise the methodologies traditionally used to model and evaluate phenomena related to financial institutions. In this context, we focus the attention on the estimation of bank defaults: a large literature has been proposed to model the binary dependent variable that characterizes this empirical domain and promising results have been obtained from the application of regression methods based on the extreme value theory. We consider, as dependent variable, a strongly asymmetric binary variable whose probabilistic structure can be related to the Generalized Extreme Value (GEV) distribution. Further, we propose to select the independent variables through proper penalty procedures and appropriate screenings of the data that could be of great interest in presence of large datasets.