We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications typically there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...

In mortgage default modeling, many of the key variables, such as loan age, FICO score, Debt-to-Income Ratio (DTI), and Loan-to-House-Value Ratio (LTV), have nonlinear relationship with the target default/delinquency rates. To catch the nonlinearity in the response function, experienced modelers...

Logistic regression is a very popular binary classification technique in many industries, particularly in the financial service industry. It has been used to build credit scorecards, estimate the probability of default or churn, identify the next best product in marketing, and many more...