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Addressing class imbalance is a central challenge in credit card fraud detection, as it directly impacts predictive reliability in real-world financial systems. To overcome this, the study proposes an enhanced workflow based on the…
Credit card fraud causes significant financial losses and frequently occurs as fraud attack, defined as short-term sequence of fraudulent transactions associated with high transaction rates and amounts, business areas historically tied to…
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is interpretable and is able to provide a…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Despite the tremendous advances achieved over the past years by deep learning techniques, the latest risk prediction models for industrial applications still rely on highly handtuned stage-wised statistical learning tools, such as gradient…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
Accurate demand forecasting in the retail industry is a critical determinant of financial performance and supply chain efficiency. As global markets become increasingly interconnected, businesses are turning towards advanced prediction…
We demonstrate the use of Adaptive Stress Testing to detect and address potential vulnerabilities in a financial environment. We develop a simplified model for credit card fraud detection that utilizes a linear regression classifier based…
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk…
The credit scoring industry has a long tradition of using statistical tools for loan default probability prediction and domain specific standards have been established long before the hype of machine learning. Although several commercial…
In this paper, I explored how a range of regression and machine learning techniques can be applied to monthly U.S. unemployment data to produce timely forecasts. I compared seven models: Linear Regression, SGDRegressor, Random Forest,…
Credit risk default prediction remains a cornerstone of risk management in the financial industry. The task involves estimating the likelihood that a borrower will fail to meet debt obligations, an objective critical for lending decisions,…
With the proliferation of various online and mobile payment systems, credit card fraud has emerged as a significant threat to financial security. This study focuses on innovative applications of the latest Transformer models for more robust…
There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of the capital against credit risk required by Basel II to cover…
Loan risk for small businesses has long been a complex problem worthy of exploring. Predicting the loan risk can benefit entrepreneurship by developing more jobs for the society. CatBoost (Categorical Boosting) is a powerful machine…
Microfinance, despite its significant potential for poverty reduction, is facing sustainability hardships due to high default rates. Although many methods in regular finance can estimate credit scores and default probabilities, these…
In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the transfer of part of this risk to investors, offering an…
This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit portfolio. Joint default modeling is, without loss of…
There is a massive underserved market for small business lending in the US with the Federal Reserve estimating over \$650B in unmet annual financing needs. Assessing the credit risk of a small business is key to making good decisions…