Conference Papers

Developments in unsecured capital and impairment forecasting

Presenter(s): Rachel Bailey; Sam Lacy

Year of presentation: 2015

Affiliate institution: Lloyds Banking Group

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Conference Papers

Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds

Presenter(s): Dirk Tasche

Year of presentation: 2015

Affiliate institution: Bank of England

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Conference Papers

Credit risk modelling under distressed conditions

Presenter(s): Yiannis Dendramis; Elias Tzavalis; Georgios Adraktas; A. Papanikolaou

Year of presentation: 2015

Affiliate institution: Alpha Bank; Queen Mary University of London; Athens University of Economics and Business

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Conference Papers

Estimating non-cyclical PDs: a case study from Bulgaria

Presenter(s): Hristiana Vidinova

Year of presentation: 2015

Affiliate institution: Experian

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Conference Papers

Application of scoring approach in the LGD estimation

Presenter(s): Ivana Zohova

Year of presentation: 2015

Affiliate institution: Erste Group

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Conference Papers

On a systematic hyperparameter tuning framework in R for credit scoring with special considerations to class imbalance correction

Presenter(s): Gero Szepannek; Bernd Bischl; Tobias Kühn

Year of presentation: 2015

Affiliate institution: Santander Consumer Bank; LMU München

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Conference Papers

The prediction of time to default for personal loans using mixture cure models: including macro-economic factors

Presenter(s): Lore Dirick; Anthony Bellotti; Gerda Claeskens; Bart Baesens

Year of presentation: 2015

Affiliate institution: KU Leuven; Imperial College London; University of Southampton

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Conference Papers

Sand pile modeling of economic variables for credit risk applications

Presenter(s): João Pires da Cruz; Helena Cruz; Janshukan Rajaratnam; Peter Beling; George A. Overstreet Jr.

Year of presentation: 2015

Affiliate institution: Closer Consulting Ltd; University of Lisbon; University of Cape Town; University of Virginia

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Conference Papers

‘Downturn’ estimates for Basel credit risk metrics

Presenter(s): Eric McVittie

Year of presentation: 2015

Affiliate institution: Experian

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Conference Papers

Cyber analytics: streaming transaction analytics to identify malevolent cyber intrusions

Presenter(s): Jehan Athwal; Matthew Kennel; Scott Zoldi

Year of presentation: 2015

Affiliate institution: FICO

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