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Excellent stuff! I’ve worked in this area. Have you considered applying ratios like the Altman z-score? I’m also curious how you back tested to get the final s
by davedx 2y ago
Excellent stuff! I’ve worked in this area. Have you considered applying ratios like the Altman z-score?
I’m also curious how you back tested to get the final scoring.
- gab_ 2y agoThank you! Not yet, but it sounds interesting. The possibilities are endless. Currently, I am testing some methods from survival analysis. The data is very imbalanced; there are very few insolvent companies compared to solvent ones. Therefore, I work with synthetic data in my training dataset. To get the final score, I need to scale the predictions to achieve a heavily right-skewed distribution. Currently, I am using the method Platt scaling.