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Machine Learning for Corporate Default Risk : Multi-Period Prediction, Frailty Correlation, Loan Portfolios, and Tail Probabilities
Sigrist, Fabio Roman Albert; Leuenberger, Nicola - 2021
tails of portfolio losses compared to both a linear frailty model and machine learning methods ignoring frailty correlation …
Persistent link: https://www.econbiz.de/10013324358
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Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011587660
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Identifying hidden patterns in credit risk survival data using Generalised Additive Models
Djeundje, Viani Biatat; Crook, Jonathan N. - In: European journal of operational research : EJOR 277 (2019) 1, pp. 366-376
Persistent link: https://www.econbiz.de/10012015040
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Improving credit risk assessment through deep learning-based consumer loan default prediction model
Jumaa, Muhamad AbdulAziz Muhamad Saleh; Saqib, Mohammed; … - In: International journal of finance & banking studies : JJFBS 12 (2023) 1, pp. 85-92
Persistent link: https://www.econbiz.de/10014308026
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing : a case from Turkey
Kucukkocaoglu, Guray; Altintas, M. Ayhan - In: Risk governance & control : financial markets & institutions 6 (2016) 1, pp. 52-63
Persistent link: https://www.econbiz.de/10011656697
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Modeling severity risk under PD-LGD correlation
Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588
Persistent link: https://www.econbiz.de/10012014695
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The value of text for small business default prediction : a deep learning approach
Stevenson, Matthew; Mues, Christophe; Bravo, Cristián - In: European journal of operational research : EJOR 295 (2021) 2, pp. 758-771
Persistent link: https://www.econbiz.de/10013206023