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Undated material is presented at the end, although it may be more recent than other items
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- 2161252 Integrating macroeconomic risk factors in credit portfolio models
by Alfred Hamerle & Andreas Dartsch & Rainer Jobst & Kilian Plank - 2161256 Recalibrating credit risk models – a theoretical perspective with practical implications
by Lawrence G. Antioch - 2161257 Reconciling credit correlations
by Andrew Chernih & Luc Henrard and Steven Vanduffel - 2161260 Internal credit rating systems: methodology and economic value
by Radu Neagu & Sean Keenan and Kete Chalermkraivuth - 2161261 Backtesting VaR models:a two-stage procedure
by Timotheos Angelidis & Stavros Degiannakis - 2161264 Value-at-risk forecasts with conditional volatility for structured products
by Fen-Ying Chen - 2161265 The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks
by George A. Christodoulakis & Stephen E. Satchell - 2161266 A framework for stress-testing banks' credit risk
by Jim Hock-Yuen Wong & Ka-Fai Choi & Pak-Wing Fong - 2161267 Variable selection in default risk models
by Alessandra Amendola & Marialuisa Restaino & Luca Sensini - 2161269 Stress-testing German credit portfolios
by Ferdinand Mager & Christian Schmieder - 2161270 Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
by Szymon Borak & Matthias R. Fengler and Wolfgang K. Härdle - 2161272 Estimating and validating long-run probability of default with respect to Basel II requirements
by Peter Miu & Bogie Ozdemir - 2161273 Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
by Stefan Huschens & Christoph Lehmann and Daniel Tillich - 2161274 Stress testing of retail mortgages: a study based on non-stationary Markov chains and t-copula simulation
by Chang Liu & Min Guo and Raja Nassar - 2161275 Portfolio crash testing: making sense of extreme event exposures
by Arcady Novosyolov and Daniel Satchkov - 2161278 Multiple hypotheses testing of transition matrices
by Victor de la Pena & Adrian Hernandez-del-Valle & Ricardo Rivera - 2161280 Stress-testing retail loan portfolios with dual-time dynamics
by Joseph L. Breeden & Lyn Thomas and John W. McDonald III - 2161281 Rating philosophy and dynamic properties of internal rating systems: a general framework and an application to backtesting
by Marco Morone & Anna Cornaglia - 2161282 Measuring model risk
by Philipp Sibbertsen & Gerhard Stahl & Corinna Luedtke - 2161284 Understanding performance measures for validating default risk models: a review of performance metrics
by Jorge R. Sobehart & Sean C. Keenan - 2161286 Discriminatory power: an obsolete validation criterion?
by Manuel Lingo & Gerhard Winkler - 2161287 The effect of variant sample sizes and default rates on validation metrics for probability of default models
by David Li & Ruchi Bhariok & Radu Neagu - 2161289 Forecasting industry sector default rates through dynamic factor models
by Andrea Cipollini & Giuseppe Missaglia - 2161292 Benchmarking default prediction models: pitfalls and remedies in model validation
by Roger M. Stein - 2161294 On the rating and pricing of mortgage portfolios through structured finance
by Kaj Nyström - 2161295 Area under the curve maximization method in credit scoring
by Kakeru Miura & Satoshi Yamashita and Shinto Eguchi - 2161299 Country default probabilities: assessing and backtesting
by Stefan Huschens & Alexander Karmann & Dominik Maltritz & Konstantin Vogl - 2161301 Measures of predictive success for rating functions
by Sebastian Ostrowski & Peter Reichling - 2161302 Backtesting the RPIX inflation fan charts
by Kevin Dowd - 2161303 Impact analysis of VaR methodologies on regulatory capital
by Lampros Kalyvas & Athanasios Sfetsos - 2161307 Calibrating low-default portfolios, using the cumulative accuracy profile
by Marco J. van der Burgt - 2161308 The usefulness of inaccurate models: financial risk management 'in the wild'
by Yuval Millo and Donald MacKenzie - 2161310 Risk evaluation in financial risk management: prediction limits and backtesting
by Ralf Pauly and Jens Fricke - 2161311 An econometric model to quantify benchmark downturn loss given default on residential mortgages
by Marco Morone and Anna Cornaglia - 2161312 Reverse stress tests with bottom-up approaches
by Peter Grundke - 2161313 Validation of banks' internal rating systems: a challenging task?
by Stefan Blöchwitz - 2161314 An assessment of the internal rating-based approach in Basel II
by Simone Varotto - 2161315 Validating mortgage prepayment forecasts using a dynamic bivariate-choice regression method
by Tingting Ji - 2161316 The distribution of defaults and Bayesian model validation
by Douglas W. Dwyer - 2161317 Stress testing CDOs
by Alfred Hamerle & Kilian Plank - 2161320 The Swedish inflation fan charts: an evaluation of the Riksbank's inflation density forecasts
by Kevin Dowd - 2161322 Managing capital buffers in the Pillar II framework: designing an effective ICAAP/ORSA to manage procyclicality and to reconcile short-term and long-term views of capital
by Peter Miu and Bogie Ozdemir - 2161324 Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches
by Gözde Ünal - 2161326 Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios
by Meko M.C. So and Lyn C. Thomas - 2161327 Empirical performance of loss given default prediction models
by Benjamin Bade & Daniel Rösch & Harald Scheule - 2161328 Addressing the issue of conservatism in probability of default estimates: a validation tool
by Carlos Branco - 2161331 A practical anatomy of IRC modelling
by Marcus R.W. Martin & Helmut Lutz & Carsten S. Wehn - 2164383 Stress testing a retail loan portfolio: an error correction model approach
by Steeve Assouan - 2164387 On bounds for model calibration uncertainty
by Mikhail V. Deryabin - 2164412 The effect of imperfect data on default prediction validation tests
by Heather Russell & Douglas Dwyer and Qing Kang Tang - 2186757 Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis
by Marco Bee - 2186764 Probability of default validation: a single-year and a multiyear methodology for the Basel framework
by Oliver Blümke - 2207202 Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
by Cho-Hoi Hui & Tak-Chuen Wong & Chi-Fai Lo and Ming-Xi Huang - 2207222 A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems
by Magnus Carlehed and Alexander Petrov - 2207239 Modeling issuer default risk in basket default swaps: the impact of default correlation
by Po-Cheng Wu - 2229467 Backtesting value-at-risk: a comparison between filtered bootstrap and historical simulation
by Dario Brandolini & Stefano Colucci - 2229474 Capturing value-at-risk in futures markets: a revised filtered historical simulation approach
by Chang-Cheng Changchien & Chu-Hsiung Lin and Wei-Shun Kao - 2229478 Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models: a case of frontier markets
by Dany Ng Cheong Vee & Preethee Nunkoo Gonpot and Noor Sookia - 2255868 Credit portfolio models in the presence of forward-looking stress events
by Alexander Denev - 2255876 Economic capital model validation: a comparative study
by Zhenya Hu & Amnon Levy and Jing Zhang - 2255880 Loss given default modeling: a comparative analysis
by Olga Yashkir and Yuri Yashkir - 2275643 An integrated stress testing framework via Markov switching simulation
by Wei Chen and Jimmy Skoglund - 2294423 Toward model value-at-risk: bespoke CDO tranches, a case study
by Pierre Cohort & Pierre-Emmanuel Levy dit Vehel and Frédéric Patras - 2294434 Multirating decision model validation: the relevance of the quality of securitization issues
by Miguel à . Peña-Cerezo & Arturo RodrÃguez-Castellanos and Francisco J. Ibáñez-Hernández - 2317137 The daily returns of the Portuguese Stock Index: a distributional characterization
by Sameer R. Rege & João C. A. Teixeira and António G. de Menezes - 2317139 A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
by Paolo Guarda & Abdelaziz Rouabah and John Theal - 2317144 Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
by Bill Huajian Yang - 2317266 Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems†by M. Carlehed and A. Petrov
by Lawrence R. Forest Jr. & Gaurav Chawla and Scott D. Aguais - 2317272 Response to the comment by L. R. Forest Jr., G. Chawla and S. D. Aguais
by Magnus Carlehed and Alexander Petrov - 2335488 A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions
by Matthias Fischer and Marius Pfeuffer - 2335495 A proposed framework for backtesting loss given default models
by Gert Loterman & Michiel Debruyne & Karlien Vanden Branden & Tony Van Gestel and Christophe Mues - 2350365 Review, theory and implementation of convertible bonds for commercial investment
by Raj Kunwar & Zhihui Yang & Jonathan Lai and Jerrold Cline - 2350369 An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
by Matthias Fischer and Florian Kaufmann - 2350377 Comparative analysis of credit risk models for loan portfolios
by Chulwoo Han - 2370503 Sensitivity analysis of risk measurement for catastrophe losses caused by natural disasters
by Myung Suk Kim - 2370509 Validation of term structure forecasts with factor models
by Alexander B. Matthies - 2370512 Conditioned likelihood estimation of nonnormal distributions: risk estimation of credit portfolios in stressed markets
by Kingsley Oteng-Amoako - 2385745 Liquidity effects on value-at-risk limits: construction of a new VaR model
by Sunny B. Walter Madoroba and Jan W. Kruger - 2385759 Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models
by Dany Allan Nicholas Ng Cheong Vee & Preethee Nunkoo Gonpot and Noor Ul Hacq Sookia - 2400825 The role of the loss function in value-at-risk comparisons
by Pilar Abad & Sonia Benito Muela and Carmen López MartÃn - 2400826 Country risk index and sovereign ratings: do they foresee financial crises?
by Nerea San-MartÃn-Albizuri and Arturo RodrÃguez-Castellanos - 2412440 Biased benchmarks
by Lawrence R. Forest Jr. & Gaurav Chawla and Scott D. Aguais - 2413209 Backtesting Solvency II value-at-risk models using a rolling horizon
by Miriam Loois - 2413891 Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
by Bill Huajian Yang and Zunwei Du - 2414407 Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
by Marie Steen & Sjur Westgaard and Ole Gjølberg - 2424800 Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
by Jean Paul Chung Wing and Preethee Nunkoo Gonpot - 2425809 Loss given default modeling: an application to data from a Polish bank
by Marek Karwański & Michał Gostkowski and Piotr Jałowiecki - 2437467 A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
by Sisi Liang & Joseph Breeden - 2437490 Downside risk measure performance in the presence of breaks in volatility
by Johannes Rohde - 2449102 An application of sensitivity analysis to hedge funds
by Greg N. Gregoriou and Razvan Pascalau - 2449114 Value-at-risk time scaling: a Monte Carlo approach
by Moepa Malataliana and Michael Rigotard - 2449134 Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
by Maria Rocha Sousa & João Gama and ElÃsio Brandão - 2457349 Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
by Kuo-Shing Chen - 2466345 Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
by . . & Zunwei Du - 2467947 A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
by Tae Yeon Kwon - 2469333 Some options for evaluating significant deterioration under IFRS 9
by Gaurav Chawla & Lawrence Forest Jr & Scott Aguais - 2476036 Consensus information and consensus rating: a simulation study on rating aggregation
by Christoph Lehmann & Daniel Tillich - 2476042 A quick tool to forecast value-at-risk using implied and realized volatilities
by Francesco Cesarone & Stefano Colucci - 2476044 A prudent loss given default estimation for mortgages
by Bogie Ozdemir - 2476045 Risk reduction in a time series momentum trading strategy
by KiHoon Hong & KiBong Park & Yong Woong Lee - 2480144 Point-in-time probability of default term structure models for multiperiod scenario loss projection
by . . - 3911741 Asset correlations and procyclical impact
by Kung-Cheng Ho & Jiun-Lin (Alex) Chen & Shih-Cheng Lee - 3913941 A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
by Georgios Papadopoulos - 3914671 Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibrationâ€
by Torsten Pyttlik & Mark Rubtsov & Alexandre Petrov - 3916491 Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
by Jimmy Skoglund & Wei Chen - 4992916 Goodness-of-fit for discrete-choice models of borrower default
by Arden Hall - 5267071 Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
by Katsuhiro Tanaka - 5268606 Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
by Fen-Ying Chen - 5277031 A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
by Jiaming Liu & Chong Wu - 5277036 Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic
by MartÃn Egozcue & Luis Fuentes GarcÃa & Konstantinos V. Katsikopoulos & Michael Smithson - 5312461 A practical maturity assessment method for model risk management in banks
by Liesl van Biljon & L.J. Haasbroek - 5318806 On the correlation and parametric approaches to calculation of credit value adjustment
by Tao Pang & Wei Chen & Le Li - 5365156 New historical bootstrap value-at-risk model
by Nikola Radivojević & Zorana Sobat-Matic & Borjana B. Mirjanic - 5379046 Governance and organizational requirements for effective model risk management
by Dennis E. Bennett - 5379051 The profit-and-loss attribution test
by Peter Thompson & Hayden Luo & Kevin Fergusson - 5399941 A risk-sensitive approach for stressed transition probability matrixes
by Ahmet Perilioglu & Karina Perilioglu & Sukriye Tuysuz - 5455781 The validation of filtered historical value-at-risk models
by Pedro Gurrola-Perez - 5462081 Underperforming performance measures? A review of measures for loss given default models
by Katarzyna (Kasia) Bijak & Lyn C. Thomas - 5465841 Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
by Sascha Wilkens & Mirela Predescu - 5587081 Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
by Bill Huajian Yang - 5646366 The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
by Jiun-Lin (Alex) Chen & Hyoseok (David) Hwang - 5720521 Shrunk volatility value-at-risk: an application on US balanced portfolios
by Stefano Colucci - 5720571 Evaluating the risk performance of online peer-to-peer lending platforms in China
by Chong Wu & Dong Zhang & Ying Wang - 5885946 Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
by Liyi Lin & Marc Heemskerk & Peter Dekker - 5940421 Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
by José Canals-Cerdá - 6178806 A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
by Saeed Shaker-Akhtekhane & Mohsen Seighali & Solmaz Poorabbas - 6178851 Evaluating the credit exposure of interest rate derivatives under the real-world measure
by Takashi Yasuoka - 6409336 The utility of Basel III rules on excessive violations of internal risk models
by Wayne Tarrant - 6446891 On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
by Xin Zhang & Tony Tung - 6547061 An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data
by Mohammad Zoynul Abedin & Chi Guotai & Fahmida - E - Moula & Tong Zhang & M. Kabir Hassan - 6653576 Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
by Lukasz Prorokowski - 6710461 Credit portfolio stress testing using transition matrixes
by Radu Neagu & Gabriel Lipsa & Jing Wu & Jake Lee & Stephane Karm & John Jordan - 6903226 Risk data validation under BCBS 239
by Lukasz Prorokowski - 6961226 An advanced hybrid classification technique for credit risk evaluation
by Chong Wu & Dekun Gao & Qianqun Ma & Qi Wang & Yu Lu - 6983646 Model risk management: from epistemology to corporate governance
by Bertrand Hassani - 6983716 Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study
by Kaiqiao Li & Kan He & Lizhou Nie & Wei Zhu & Pei Fen Kuan - 7090116 A study on window-size selection for threshold and bootstrap value-at-risk models
by Anri Smith & Chun-Kai Huang - 7129766 Validation of index and benchmark assignment: adequacy of capturing tail risk
by Lukasz Prorokowski - 7378466 Volatility forecasting: the role of internet search activity and implied volatility
by Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe - 7472236 Measuring economic cycles in data
by Joseph L. Breeden - 7553986 An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
by Keith Law & Wai Keung Li & Philip Yu - 7554006 An alternative statistical framework for credit default prediction
by Mohammad Shamsu Uddin & Guotai Chi & Tabassum Habib & Ying Zhou - 7669806 A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
by Danyang Lv & Chong Wu & Linxiao Dong - 7669826 The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
by Marcin Fałdziński & Magdalena Osińska - 7701096 A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
by Zhifeng Wang & Fangying Wei - 7736716 Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
by Guotai Chi & Kunpeng Yuan & Ying Zhou & Lingling Gong - 7736721 How accurate is the accuracy ratio in credit risk model validation?
by Marco van der Burgt - 7745296 A hybrid model for credit risk assessment: empirical validation by real-world credit data
by Guotai Chi & Mohammad Shamsu Uddin & Tabassum Habib & Ying Zhou & Md Rashidul Islam & Md Asad Iqbal Chowdhury - 7796971 A verification model to capture option risk and hedging based on a modified underlying beta
by Chuan-He Shen & Yang Liu - 7797961 Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
by Błażej Kochański - 7800771 Research on listed companies’ credit ratings, considering classification performance and interpretability
by Zhe Li & Guotai Chi & Ying Zhou & Wenxuan Liu - 7860306 Empirical validation of the credit rating migration model for estimating the migration boundary
by Yang Lin & Jin Liang - 7882586 The value-at-risk of time-series momentum and contrarian trading strategies
by Keunbae Ahn & Jihye Park & KiHoon Hong - 7882826 A pricing model with dynamic credit rating transition matrixes
by Yun-Cheng Tsai & Sheng-Hsuan Lin & Yuh-Dauh Lyuu - 7885046 A prudent loss given default estimation for mortgages. II
by Bogie Ozdemir & Emma Huang - 7890646 Backtesting of a probability of default model in the point-in-time–through-the-cycle context
by Mark Rubtsov - 7899776 Evaluation of backtesting techniques on risk models with different horizons
by Grigorios Kontaxis & Ioannis E. Tsolas - 7902111 Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
by Mark Rubtsov - 7936571 Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective
by Tong Zhang & Zhichong Zhao - 7936871 Estimating value-at-risk using quantile regression and implied volatilities
by Petter E. de Lange & Morten Risstad & Sjur Westgaard - 7938951 The importance of window size: a study on the required window size for optimal-quality market risk models
by Mateusz Buczyński & Marcin Chlebus - 7946801 Modeling credit risk in the presence of central bank and government intervention
by Bernd Engelmann - 7951506 Expected shortfall model based on a neural network
by Sanja Doncic & Nemanja Pantic & Marija Lakićević & Nikola Radivojević - 7953781 Quantifying model selection risk in macroeconomic sensitivity models
by Joseph L. Breeden & Nikolay Dobrinov - 7954191 Model risk quantification based on relative entropy
by Daniel Arrieta - 7954964 Model risk in mortality-linked contingent claims pricing
by Gareth W Peters & Hongxuan Yan & Jennifer Chan - 7955414 Scenario design for macrofinancial stress testing
by Emanuele De Meo - 7955415 Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
by Ling-Jia Chen & Runchi Zhang - 7955423 Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
by Mengting Fan & Zan Mo & Qizhi Zhao & Hongming Gao & Hongwei Liu & Hui Zhu - 7956045 Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation
by Zeng Li & Wee-Yeap Lau & Elya Nabila Abdul Bahri - 7956071 Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
by Chunlin Cai - 7956771 What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
by David Murphy - 7956798 The validation of different systemic risk measurement models
by Hu Wang & Shuyang Jiang - 7956812 A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
by Guotai Chi & Mohamed Abdelaziz Mandour - 7956866 Bayesian backtesting for counterparty risk models
by Mante Zelvyte & Matthias Arnsdorf - 7957515 On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompletenessâ€
by Oghenovo Adewale Obrimah - 7957638 Overfitting in portfolio optimization
by Matteo Maggiolo & Oleg Szehr - 7957679 A new automated model validation tool for financial institutions
by Lingling Fan & Alex Schneider & Mazin Joumaa - 7958615 Online attention and directors’ and officers’ liability insurance: evidence from Chinese listed firms
by Can Lin & Huobao Xie - 7958697 Shapley values as an interpretability technique in credit scoring
by Hendrik Andries du Toit & Willem Daniël Schutte & Helgard Raubenheimer - 7959301 Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
by Jin Xing & Guotai Chi & Ancheng Pan - 7959313 Financial distress prediction with optimal decision trees based on the optimal sampling probability
by Guotai Chi & Cun Li & Ying Zhou & Taotao Li - 7959389 A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
by Guanghui Han & Panpan Liu & Yueqiang Zhang & Xiaobo Li - 7959891 The impact of deterioration in rating-model discriminatory power on expected losses
by Siyi Zhou & Gary van Vuuren - 7959987 Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
by Zilong Liu & Hongyan Liang - 7960013 Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports
by Szymon Lis & Mariusz Kubkowski & Olimpia Borkowska & Dobromił Serwa & Jarosław Kuparnik - 7960088 Litigation risk assessment: a novel quantitative recency–frequency–monetary model
by Guodong Shi & Jianjie Huang & Jiahao Hou & Zeliang Zhang - 7960108 A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting
by Xinyong Lu & Yuchong Li & Jiaxin Wang & Xuewei Liu & Jiahui Wei - 7960310 Research on the multifractal volatility of Chinese banks based on the synthetic minority oversampling technique, edited nearest neighbors and long short-term memory
by Jingyuan Huang & Yunhan Qu & Cheng Li - 7961667 Overcoming issues with time-scaling value-at-risk
by Anastasia Maga & Arthur Lance Dryver - 7961668 Enhancing default prediction in alternative lending: leveraging credit bureau data and machine learning
by Zilong Liu & Hongyan Liang - 7961671 The fate of zombie firms: prediction, determinants and exit paths
by David Veganzones & Eric Séverin - 7961700 A three-stage fusion model for predicting financial distress considering semantic and sentiment information
by Jiaming Liu & Bo Yuan - 7961740 Model risk quantification for machine learning models in credit risk
by Lukasz Prorokowski - 7961943 Failure mode and effects analysis–analytic hierarchy process (FMEA-AHP) model in supplier risk management
by Marija Panić & Que Xiaojun - 7962046 A comprehensive explainable approach for imbalanced financial distress prediction
by Ruhao Chen & Tong-Yu Lu & Jiyuan Min & Wenfu Xu - 7962236 Probabilistic classification with discriminative and generative models: credit-scoring application
by Taha Buǧra Çelik - 7962347 An aggregated metrics framework for multicriteria model validation using rolling origin evaluation
by Stanisław Halkiewicz & Mateusz Stachowicz - 7962480 Green risk identification and risk measurement in fintech: a particle swarm optimization fuzzy analytic hierarchy process and sparrow search algorithm quantile regression neural network approach
by Li Zeng & Wee-Yeap Lau