Conference Papers

Machine learning performance over long time horizons

Presenter(s): Yazhe Li; Tony Bellotti; Niall Adams

Year of presentation: 2017

Affiliate institution: Imperial College London

Download paper

Conference Papers

Loss estimation for retail credit using Monte Carlo simulation

Presenter(s): Anthony Bellotti

Year of presentation: 2017

Affiliate institution: Imperial College London

Download paper

Conference Papers

Limiting credit portfolio loss without probability measures

Presenter(s): João Pires da Cruz; Catia Silva; Kanshukan Rajaratnam; Peter Beling; George A. Overstreet Jr.

Year of presentation: 2017

Affiliate institution: University of Lisbon; Red Zebra Analytics; University of Cape Town; University of Virginia

Download paper

Conference Papers

LGD Modelling – comparison of models

Presenter(s): Sukriye Tuysuz; Emre Unal

Year of presentation: 2017

Affiliate institution: Yeditepe University; Turkiye Finans

Download paper

Conference Papers

Issues using logistic regression for highly imbalanced data

Presenter(s): Yazhe Li; Niall Adams; Tony Bellotti

Year of presentation: 2017

Affiliate institution: Imperial College London

Download paper

Conference Papers

Isn’t there really enough data to produce good LGD and EAD models?

Presenter(s): Massimo Cutaia

Year of presentation: 2017

Affiliate institution: Credit Suisse Global Credit Data

Download paper

Conference Papers

Interpretable credit scoring. Methodological adaptations to the right to explanation

Presenter(s): Belen Martin-Barragan

Year of presentation: 2017

Download paper

Conference Papers

Information noise and credit risk; evidence from corporate bankruptcy

Presenter(s): Xin Xu

Year of presentation: 2017

Affiliate institution: Unisys Analytics

Download paper

Conference Papers

Increasing credit scoring using streaming delayed supervised information

Presenter(s): Joshua Plasse; Niall Adams

Year of presentation: 2017

Affiliate institution: Imperial College London; Heilbronn Institute for Mathematical Research

Download paper

Conference Papers

Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards

Presenter(s): Jonathan Crook; Viani Djeundje

Year of presentation: 2017

Affiliate institution: The University of Edinburgh

Download paper