Nagl, Matthias; Nagl, Maximilian; Rösch, Daniel - In: OR Spectrum 47 (2024) 3, pp. 933-967
We synthesize the extended linear beta regression with a neural network structure to model and predict the mean and precision of market-based loss rates. We can incorporate non-linearity in mean and precision in a flexible way and resolve the problem of specifying the underlying form in advance....