Machine learning for corporate default risk : multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
Fabio Sigrist, Nicola Leuenberger
| Year of publication: |
2023
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| Authors: | Sigrist, Fabio Roman Albert ; Leuenberger, Nicola |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 3 (16.3.), p. 1390-1406
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| Subject: | Risk analysis | OR in banking | Bankruptcy modeling | Non-linear model | Mixed effects model | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Theorie | Theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Künstliche Intelligenz | Artificial intelligence | Bankrisiko | Bank risk | Korrelation | Correlation | Kreditgeschäft | Bank lending |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.06.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013498806