Interaction between financial risk measures and machine learning methods

DOI10.1007/s10287-013-0175-5zbMath1342.91017OpenAlexW2006359467MaRDI QIDQ2355190

Rei Yamamoto, Akiko Takeda, Jun-Ya Gotoh

Publication date: 21 July 2015

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-013-0175-5

zbMATH Keywords

credit ratingcoherent measures of riskconditional value-at-risk (CVaR)\(\nu\)-support vector machine (\(\nu\)-SVM)mean-absolute semi-deviation (MASD)

Mathematics Subject Classification ID

Related Items (4)

Robust and distributionally robust optimization models for linear support vector machine ⋮ Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation ⋮ Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach ⋮ Support vector machines based on convex risk functions and general norms

Uses Software

• ElemStatLearn

Cites Work

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