The credit risk assessment process is necessary for maintaining financial stability, cost and time efficiency, model performance accuracy, comparability analysis and future business implications in the commercial banking sector. By accurately predicting credit risk, highly regulated banks can...

This paper introduces a new family of distortion functions for measuring risks, developed using transmutation techniques. We identify the parameter spaces where the proposed distortions exhibit concavity. Considering that the choice of distortion parameters can be influenced by political factors...