Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities

DOI10.1016/j.ejor.2022.06.035OpenAlexW4293073087MaRDI QIDQ2103037

Fabio Sigrist, Nicola Leuenberger

Publication date: 12 December 2022

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.06.035

zbMATH Keywords

risk analysisOR in bankingmixed effects modelnon-linear modelbankruptcy modeling

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Uses Software

• Adam

Cites Work

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