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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

Validation of stress testing models

Breeden, Joseph L. - In: The analytics of risk model validation, (pp. 13-25). 2008

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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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Discrete-time survival models with neural networks for age-period-cohort analysis of credit risk

Wang, Hao; Bellotti, Anthony; Qu, Rong; Bai, Ruibin - In: Risks : open access journal 12 (2024) 2, pp. 1-26

Survival models have become popular for credit risk estimation. Most current credit risk survival models use an underlying linear model. This is beneficial in terms of interpretability but is restrictive for real-life applications since it cannot discover hidden nonlinearities and interactions...

Persistent link: https://www.econbiz.de/10014497384

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

Persistent link: https://www.econbiz.de/10014279674

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

Persistent link: https://www.econbiz.de/10011517475

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

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Current expected credit loss procyclicality : it depends on the model

Breeden, Joseph L.; Vaskouski, Maxim - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012298972

Multihorizon discrete time survival models

Breeden, Joseph L.; Crook, Jonathan N. - In: Journal of the Operational Research Society 73 (2022) 1, pp. 56-69

Persistent link: https://www.econbiz.de/10012872885