Related papers: Loss Rate Forecasting Framework Based on Macroecon…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
In the face of increasing financial uncertainty and market complexity, this study presents a novel risk-aware financial forecasting framework that integrates advanced machine learning techniques with intuitionistic fuzzy multi-criteria…
Predicting the probability of default (PD) of prospective loans is a critical objective for financial institutions. In recent years, machine learning (ML) algorithms have achieved remarkable success across a wide variety of prediction…
Peer-to-peer (P2P) lending is a fast growing financial technology (FinTech) trend that is displacing traditional retail banking. Studies on P2P lending have focused on predicting individual interest rates or default probabilities. However,…
We propose an adaption of the multiple imputation random lasso procedure tailored to longitudinal data with unobserved fixed effects which provides robust variable selection in the presence of complex missingness, high dimensionality and…
Accurate forecasting in the e-commerce finance domain is particularly challenging due to irregular invoice schedules, payment deferrals, and user-specific behavioral variability. These factors, combined with sparse datasets and short…
The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of…
In this paper, we study mid-cap companies, i.e. publicly traded companies with less than US $10 billion in market capitalisation. Using a large dataset of US mid-cap companies observed over 30 years, we look to predict the default…
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and crashes of the USA stock market. The…
Various poverty reduction strategies are being implemented in the pursuit of eliminating extreme poverty. One such strategy is increased access to microcredit in poor areas around the world. Microcredit, typically defined as the supply of…
In the realm of consumer lending, accurate credit default prediction stands as a critical element in risk mitigation and lending decision optimization. Extensive research has sought continuous improvement in existing models to enhance…
The credit cards' fraud transactions detection is the important problem in machine learning field. To detect the credit cards's fraud transactions help reduce the significant loss of the credit cards' holders and the banks. To detect the…
This paper uses standard and penalized logistic regression models to predict the Great Recession and the Covid-19 recession in the US in real time. It examines the predictability of various macroeconomic and financial indicators with…
In Mozambique there is no evidence of a bankruptcy prediction model developed in the national economic context, yet, back in 2016, the national banking sector suffered a financial shock that resulted in Mozambique Central Bank intervention…
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…
Fraudulent activities are an expensive problem for many financial institutions, costing billions of dollars to corporations annually. More commonly occurring activities in this regard are credit card frauds. In this context, the credit card…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
The credit spread is a key indicator in bond investments, offering valuable insights for fixed-income investors to devise effective trading strategies. This study proposes a novel credit spread forecasting model leveraging ensemble learning…