Estimating credit risk parameters using ensemble learning methods : an empirical study on loss given default
Han Sheng Sun and Zi Jin
| Year of publication: |
September 2016
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|---|---|
| Authors: | Sun, Han Sheng ; Jin, Zi |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 12.2016, 3, p. 43-69
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| Subject: | ensemble learning methods | loss given default | stochastic gradient boosting | random forest | partial least squares algorithm | discriminatory power | Kreditrisiko | Credit risk | Theorie | Theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2016.212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011643773