In the context of credit scoring, ensemble methods based on decision trees, suchas the random forest method, provide better classi cation performance than standardlogistic regression models. However, logistic regression remains the benchmark in thecredit risk industry mainly because the lack of...

Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial...

Sustainable investing is growing fast and investors are increasingly integrating environmental, social, and governance (ESG) criteria. However, ESG ratings are derived using heterogeneous methodologies and can be quite divergent across providers, which suggests the need for a formal statistical...