Conference Papers

Instabilities using Cox PH for forecasting or stress testing loan portfolios

Presenter(s): Joseph L. Breeden; Anthony Bellotti; Aleh Yablonski

Year of presentation: 2015

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Conference Papers

Understanding differential cycle sensitivity for loan portfolios

Presenter(s): James O'Donnell

Year of presentation: 2015

Affiliate institution: Westpac

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Conference Papers

Stochastic gradient boosting approach to daily attrition scoring based on high-dimensional RFM features

Presenter(s): Dr Gerald Fahner

Year of presentation: 2015

Affiliate institution: FICO

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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

A survey of random forest usage for fraud detection at Lloyds Banking Group

Presenter(s): Adam Langron

Year of presentation: 2015

Affiliate institution: Lloyds Banking Group

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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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Conference Papers

Calculating optimal limits for transacting credit card customers

Presenter(s): Jonathan Budd; Peter Taylor

Year of presentation: 2015

Affiliate institution: The University of Melbourne

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Conference Papers

The comparative analysis of predictive models for credit limit utilization rate

Presenter(s): Jonathan Crook; Denys Osipenko

Year of presentation: 2015

Affiliate institution: The University of Edinburgh

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Conference Papers

Reasoning about sequential decisions for customer management

Presenter(s): Dr Gerald Fahner

Year of presentation: 2015

Affiliate institution: FICO

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Conference Papers

Exposure at default models with and without the Credit Conversion Factor

Presenter(s): Edward Tong; Christophe Mues; Iain Brown; Lyn Thomas

Year of presentation: 2015

Affiliate institution: Bank of America; University of Southampton

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