Conference Papers

Predicting bank rating transitions using optimal competing risks survival analysis models

Presenter(s): Philippe Louis; Elisabeth Van Laere; Bart Baesens

Year of presentation: 2011

Affiliate institution: KU Leuven; NUS; Vlerick Management School; University of Southampton

Download paper 1 Download paper 2

Conference Papers

M2N: Optimal collateral to credit allocation

Presenter(s): Dr Massimo Cutaia

Year of presentation: 2011

Affiliate institution: Credit Suisse AG

Download paper

Conference Papers

Assessing the impact of changing economic conditions on the design of default probability models

Presenter(s): Fredrik Andersson; Qingqing Chen; Dennis Glennon

Year of presentation: 2011

Affiliate institution: Office of the Comptroller of the Currency

Download paper

Conference Papers

Adverse selection and non-take inference with coherent risk and response scoring

Presenter(s): Robert M. Oliver; Aush Thaker

Year of presentation: 2011

Affiliate institution: University of California; InfoCentricity

Download paper 1 Download paper 2

Conference Papers

Measuring loss given default for unsecured retail portfolios

Presenter(s): Sarah Scarborough

Year of presentation: 2011

Affiliate institution: SG Scarborough Ltd

Download paper

Conference Papers

Competing risks in credit scoring using survival analysis and economical modelling

Presenter(s): Cristián Bravo; Lyn C. Thomas; Richard Weber

Year of presentation: 2011

Affiliate institution: Universidad de Chile; University of Southampton

Download paper

Conference Papers

Modelling LGD using Bayesian methods

Presenter(s): Katarzyna Bijak; Lyn Thomas

Year of presentation: 2011

Affiliate institution: University of Southampton

Download paper

Conference Papers

Multi-period credit default prediction with time-varying covariates

Presenter(s): Walter Orth

Year of presentation: 2011

Affiliate institution: University of Cologne

Download paper 1 Download paper 2

Conference Papers

Competing risks survival model for mortgage loans with simulated loss distributions

Presenter(s): Mindy Leow; Christophe Mues; Lyn Thomas

Year of presentation: 2011

Affiliate institution: The University of Edinburgh; University of Southampton

Download paper

Conference Papers

Building a world-class risk analytics team

Presenter(s): Dr Richard Norgate

Year of presentation: 2011

Affiliate institution: Lloyds Banking Group

Download paper