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Considering the difficulty of financial time series forecasting in financial aid, much of the current research focuses on leveraging big data analytics in financial services. One modern approach is to utilize "predictive analysis",…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
In this study, we explore how to improve the functionality of multiclass classification algorithms. We used a benchmark dataset from Kaggle to create a framework. They have been used in a number of fields, including image recognition,…
In the financial risk domain, particularly in credit default prediction and fraud detection, accurate identification of high-risk class instances is paramount, as their occurrence can have significant economic implications. Although machine…
A theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimised. This is predicated by forecasting the future cash flows of a loan portfolio up to the contractual…
Credit ratings are one of the primary keys that reflect the level of riskiness and reliability of corporations to meet their financial obligations. Rating agencies tend to take extended periods of time to provide new ratings and update…
Prediction of post-loan default is an important task in credit risk management, and can be addressed by detection of financial anomalies using machine learning. This study introduces a ResE-BiLSTM model, using a sliding window technique,…
Credit card fraud remains a significant challenge due to class imbalance and fraudsters mimicking legitimate behavior. This study evaluates five machine learning models - Logistic Regression, Random Forest, XGBoost, K-Nearest Neighbors…
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the…
This paper considers an alternative method for fitting CARR models using combined estimating functions (CEF) by showing its usefulness in applications in economics and quantitative finance. The associated information matrix for…
This paper presents a meta-learning framework for credit risk assessment of Italian Small and Medium Enterprises (SMEs) that explicitly addresses the temporal misalignment of credit scoring models. The approach aligns financial statement…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Spurious credit card transactions are a significant source of financial losses and urge the development of accurate fraud detection algorithms. In this paper, we use machine learning strategies for such an aim. First, we apply a mixed…
Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…
Predictive models that are developed in a regulated industry or a regulated application, like determination of credit worthiness, must be interpretable and rational (e.g., meaningful improvements in basic credit behavior must result in…
This paper aims to present a general idea of method comparison of Credit Scoring techniques. Any scorecard can be made in various methods based on variable transformations in the logistic regression model. To make a comparison and come up…
Credit card fraud is assuming growing proportions as a major threat to the financial position of American household, leading to unpredictable changes in household economic behavior. To solve this problem, in this paper, a new hybrid…
In extreme classification problems, learning algorithms are required to map instances to labels from an extremely large label set. We build on a recent extreme classification framework with logarithmic time and space, and on a general…
Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…
Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification techniques used to differentiate between good and bad borrowers.…