The issue of business in the segment of small and medium-sized companies is a very actual
area of scientific research today. Currently, great importance is given to research of personal …

Logistic regression is the industry standard in credit risk modeling. Regulatory requirements
for model explainability have halted the implementation of more advanced, non-linear …

The credit scoring aim is to classify the customer credit as defaulter or non-defaulter. The
credit risk analysis is more effective with further boosting and smoothing of the parameters of …

This paper focuses on using survival analysis models in the area of credit risk and on the
modelling of the probability of default (ie a situation where the debtor is unwilling or unable …

Finance has a great impact on real economy's development. From a historical perspective,
financial innovation is often coupled with technological advancement. Among various …

The objective of the paper is to apply three selected approaches for credit rating prediction,
linear discriminant analysis, multinomial logistic regression and decision trees. The models …

We perform an analysis of systemic risk in financial and energy sectors in Europe using daily
time series of CDS spreads. We employ the factor copula model with GAS dynamics from Oh …

The development of a Sukuk market as the alternative to the existing conventional bond
market has given rise to an issue of the availability and accuracy of some of Sukuk …

The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III
credit risk capital requirements and current accounting rules. Its calculation is not an easy …

The paper argues that it would be natural to replace the standard normal distribution
function by the logistic function in the regulatory Basel II (Va-sicek's) formula. In fact, such a …