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Credit scoring has been catalogued by the European Commission and the Executive Office of the US President as a high-risk classification task, a key concern being the potential harms of making loan approval decisions based on models that…
Enterprise relation extraction aims to detect pairs of enterprise entities and identify the business relations between them from unstructured or semi-structured text data, and it is crucial for several real-world applications such as risk…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Disease risk models can identify high-risk patients and help clinicians provide more personalized care. However, risk models developed on one dataset may not generalize across diverse subpopulations of patients in different datasets and may…
Increasing complexity of modern enterprise systems and the demand for automation and interoperability require consistent and semantically validated models in Model-Based Systems Engineering (MBSE). The Object Constraint Language (OCL)…
This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are…
Threat modeling is a crucial component of cybersecurity, particularly for industries such as banking, where the security of financial data is paramount. Traditional threat modeling approaches require expert intervention and manual effort,…
Credit risk prediction is an effective way of evaluating whether a potential borrower will repay a loan, particularly in peer-to-peer lending where class imbalance problems are prevalent. However, few credit risk prediction models for…
Service industries, such as ports, are attentive to their standards, a smooth service flow and economic viability. Cost benefit analysis has proven itself as a useful tool to support this type of decision making; it has been used by…
Harrel's concordance index is a commonly used discrimination metric for survival models, particularly for models where the relative ordering of the risk of individuals is time-independent, such as the proportional hazards model. There are…
Assurance cases are used to communicate and assess confidence in critical system properties such as safety and security. Historically, assurance cases have been manually created documents, which are evaluated by system stakeholders through…
Since May 2018, the General Data Protection Regulation (GDPR) has introduced new obligations to industries. By setting a legal framework, it notably imposes strong transparency on the use of personal data. Thus, people must be informed of…
Machine-learning-based entity resolution has been widely studied. However, some entity pairs may be mislabeled by machine learning models and existing studies do not study the risk analysis problem -- predicting and interpreting which…
Maximum likelihood estimation (MLE) and heuristic predictive estimation (HPE) are two widely used approaches in industrial uncertainty analysis. We review them from the point of view of decision theory, using Bayesian inference as a gold…
Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…
There is currently a focus on statistical methods which can use historical trial information to help accelerate the discovery, development and delivery of medicine. Bayesian methods can be constructed so that the borrowing is "dynamic" in…
The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and scientific attention. The impact of parameter imperfections on the quality of expected loss (EL) in the sense of a fair,…
Casualty insurance-linked securities (ILS) are appealing to investors because the underlying insurance claims, which are directly related to resulting security performance, are uncorrelated with most other asset classes. Conversely,…
Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage…
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively…