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Classical and quantum computing methods for estimating loan-level risk distributions

Breeden, Joseph L.; Leonova, Yevgeniya - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1800-1814

Persistent link: https://www.econbiz.de/10014336324

A survey of machine learning in credit risk

Breeden, Joseph L. - In: The journal of credit risk : published quarterly by … 17 (2021) 3, pp. 1-62

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Measuring economic cycles in data

Breeden, Joseph L. - In: The journal of risk model validation 14 (2020) 1, pp. 1-17

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Forecasting recovery rates on non-performing loans with machine learning

Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; … - In: International journal of forecasting 37 (2021) 1, pp. 428-444

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Predicting loss given default of unsecured consumer loans with time-varying survival scores

Li, Aimin; Li, Zhiyong; Bellotti, Anthony - In: Pacific-Basin finance journal 78 (2023), pp. 1-17

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The profitability of online loans : a competing risks analysis on default and prepayment

Li, Zhiyong; Li, Aimin; Bellotti, Anthony; Yao, Xiao - In: European journal of operational research : EJOR 306 (2023) 2, pp. 968-985

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A through-the-cycle model for retail lending economic capital

Breeden, Joseph L.; Parker, Robert; Steinebach, Carsten - In: International Journal of Forecasting 28 (2012) 1, pp. 133-138

Problems in the US mortgage industry have shown weaknesses in the standard regulatory and economic capital approaches. Although a significant amount of discussion is occurring around how to segment portfolios or predict key variables in order to better fit the existing formulas, we believe that...

Persistent link: https://www.econbiz.de/10010796141

Modeling data with multiple time dimensions

Breeden, Joseph L. - In: Computational Statistics & Data Analysis 51 (2007) 9, pp. 4761-4785

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Solutions to specification errors in stress testing models

Breeden, Joseph L.; Thomas, Lyn C. - In: Journal of the Operational Research Society : OR 67 (2016) 6, pp. 830-840

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Incorporating lifecycle and environment in loan-level forecasts and stress tests

Breeden, Joseph L. - In: European journal of operational research : EJOR 255 (2016) 2, pp. 649-658

Persistent link: https://www.econbiz.de/10011532227