Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
type: Item
instance of: scholarly article
title: Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
author: Fabio Sigrist
author: Nicola Leuenberger
published in: European Journal of Operational Research
publication date: 2022-12-12T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7632174
zbMATH Keywords: risk analysis
zbMATH Keywords: OR in banking
zbMATH Keywords: bankruptcy modeling
zbMATH Keywords: non-linear model
zbMATH Keywords: mixed effects model
describes a project that uses: Adam
MaRDI profile type: Publication
full work available at URL: j.ejor.2022.06.035
OpenAlex ID: W4293073087
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DOI: 10.1016/J.EJOR.2022.06.035
description: scientific article; zbMATH DE number 7632174