Fuzzy decision fusion approach for loss-given-default modeling

DOI10.1016/j.ejor.2017.04.008zbMath1376.91171OpenAlexW2606087171MaRDI QIDQ1683113

Farnoosh Fatemi Pour, Abdolreza Nazemi, Frank J. Fabozzi, Konstantin Heidenreich

Publication date: 6 December 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.008

zbMATH Keywords

risk managementmacroeconomic variablescorporate bondsfuzzy rule-based modelloss-given-default modeling

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items

Explainable models of credit losses, Systematic effects among loss given defaults and their implications on downturn estimation, Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method, The profitability of online loans: a competing risks analysis on default and prepayment, Loss functions for loss given default model comparison, Loss given default decomposition using mixture distributions of in-default events, Intertemporal defaulted bond recoveries prediction via machine learning

Uses Software

• LIBSVM

Cites Work

• Improving corporate bond recovery rate prediction using multi-factor support vector regressions
• Modeling frailty-correlated defaults using many macroeconomic covariates
• A dynamic overproduce-and-choose strategy for the selection of classifier ensembles
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Theoretical foundations of the potential function method in pattern recognition learning
• Support vector regression for loss given default modelling
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