Assessing and predicting small industrial enterprises' credit ratings: A fuzzy decision-making approach
Y Sun, N Chai, Y Dong, B Shi - International Journal of Forecasting, 2022 - Elsevier
Corporate credit-rating assessment plays a crucial role in helping financial institutions make
their lending decisions and in reducing the financial constraints of small enterprises. This …
their lending decisions and in reducing the financial constraints of small enterprises. This …
Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach
Y Xia, J Zhao, L He, Y Li, X Yang - International Journal of Forecasting, 2021 - Elsevier
Abstract Peer-to-peer (P2P) lending is an emerging field in FinTech and is an alternative
source of personal loans. However, P2P lending faces severe credit risk due to high …
source of personal loans. However, P2P lending faces severe credit risk due to high …
Predicting loss given default of unsecured consumer loans with time-varying survival scores
Abstract Loss Given Default (LGD) is an essential element in effective banking supervision,
as set out in the Basel Accords. In this paper, we focus on improving LGD predictions with …
as set out in the Basel Accords. In this paper, we focus on improving LGD predictions with …
Loss functions for loss given default model comparison
C Hurlin, J Leymarie, A Patin - European Journal of Operational Research, 2018 - Elsevier
We propose a new approach for comparing Loss Given Default (LGD) models which is
based on loss functions defined in terms of regulatory capital charge. Our comparison …
based on loss functions defined in terms of regulatory capital charge. Our comparison …
Predicting loss given default using post-default information
The loss given default (LGD) is an essential component for estimating credit risk according
to the international regulatory Basel Accord. Traditionally, LGD models are built based on …
to the international regulatory Basel Accord. Traditionally, LGD models are built based on …
Fintech platforms: Lax or careful borrowers' screening?
S Gallo - Financial Innovation, 2021 - Springer
Can peer-to-peer lending platforms mitigate fraudulent behaviors? Or have lending players
been acting similar to free-riders? This paper constructs a new proxy to investigate lending …
been acting similar to free-riders? This paper constructs a new proxy to investigate lending …
Multi-view locally weighted regression for loss given default forecasting
Accurately forecasting loss given default (LGD) poses challenges, due to its highly skewed
distributions and complex nonlinear dependencies with predictors. To this end, we propose …
distributions and complex nonlinear dependencies with predictors. To this end, we propose …
[PDF][PDF] Assessment of credit losses based on ARIMA-wavelet method
The aim of this paper is to estimate and forecast the loss-given defaults (LGD) using a
sample data of credit portfolio loan collected from a bank in Jordan for the period up from …
sample data of credit portfolio loan collected from a bank in Jordan for the period up from …
Loss given default decomposition using mixture distributions of in-default events
W Starosta - European Journal of Operational Research, 2021 - Elsevier
Modeling loss in the case of default is a crucial task for financial institutions to support the
decision making process in the risk management framework. It has become an inevitable …
decision making process in the risk management framework. It has become an inevitable …
Loss given default, loan seasoning and financial fragility: evidence from commercial real estate loans at failed banks
EJ Ross, L Shibut - The Journal of Real Estate Finance and Economics, 2021 - Springer
Commercial real estate (CRE) loan losses are a recurring contributor to bank failures and
financial instability, yet they are not well understood. We examine a unique and proprietary …
financial instability, yet they are not well understood. We examine a unique and proprietary …