estimation of LGD distribution or regression techniques. This paper presents two different approaches. The first is the KNN non-parametric … model, and the other is based on the Cox survival model. The results suggest that the KNN model has higher performance. The …

This study conducts a dynamic rolling comparison between the Pareto/NBD model (parametric model) and machine learning …) models in order to compete with machine learning algorithms and presents the following results. (1) The parametric model wins … transaction frequency prediction. (3) The parametric model benefits more from a short calibration length and a long holdout …

This study conducts a dynamic rolling comparison between the Pareto/NBD model (parametric model) and machine learning …) models in order to compete with machine learning algorithms and presents the following results. (1) The parametric model wins … transaction frequency prediction. (3) The parametric model benefits more from a short calibration length and a long holdout …