This study aims to combine deep and recurrent neural networks with a reduced-form portfolio model to predict future default rates across economic sectors. The industry-specific forecasts for Italian default rates produced with the proposed approach demonstrate its effectiveness, achieving...

This paper considers an equilibrium/error correction modelling (ECM) approach to identify determinants of mortgage portfolio default rates at firm level. Using mortgage portfolio data from a UK lender we estimated the lender's portfolio concentration weights in different UK regions to estimate...