Related papers: Forecasting Probability of Default for Consumer Lo…

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…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely,…

Credit risk scorecards are logistic regression models, fitted to large and complex data sets, employed by the financial industry to model the probability of default of a potential customer. In order to ensure that a scorecard remains a…

Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…

This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models. Due to the amount of the portfolio, the heterogeneous effect of…

User financial default prediction plays a critical role in credit risk forecasting and management. It aims at predicting the probability that the user will fail to make the repayments in the future. Previous methods mainly extract a set of…

This paper investigates Gaussian copula mixture models (GCMM), which are an extension of Gaussian mixture models (GMM) that incorporate copula concepts. The paper presents the mathematical definition of GCMM and explores the properties of…

Automatic credit scoring, which assesses the probability of default by loan applicants, plays a vital role in peer-to-peer lending platforms to reduce the risk of lenders. Although it has been demonstrated that dynamic selection techniques…

In the peer to peer (P2P) lending platform, investors hope to maximize their return while minimizing the risk through a comprehensive understanding of the P2P market. A low and stable average default rate across all the borrowers denotes a…

Accurate prediction of loan defaults is a central challenge in credit risk management, particularly in modern financial datasets characterised by nonlinear relationships, class imbalance, and evolving borrower behaviour. Traditional…

Due to the recent increase in interest in Financial Technology (FinTech), applications like credit default prediction (CDP) are gaining significant industrial and academic attention. In this regard, CDP plays a crucial role in assessing the…

We consider the problem of estimating the conditional probability distribution of missing values given the observed ones. We propose an approach, which combines the flexibility of deep neural networks with the simplicity of Gaussian mixture…

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…

The Gaussian mixture model (GMM) provides a simple yet principled framework for clustering, with properties suitable for statistical inference. In this paper, we propose a new model-based clustering algorithm, called EGMM (evidential GMM),…

In this work we build a stack of machine learning models aimed at composing a state-of-the-art credit rating and default prediction system, obtaining excellent out-of-sample performances. Our approach is an excursion through the most recent…

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…

Copulas provide a modular parameterization of multivariate distributions that decouples the modeling of marginals from the dependencies between them. Gaussian Mixture Copula Model (GMCM) is a highly flexible copula that can model many kinds…

The recent trend towards Personalized Federated Learning (PFL) has garnered significant attention as it allows for the training of models that are tailored to each client while maintaining data privacy. However, current PFL techniques…

Quantifying predictive uncertainty is essential for real world machine learning applications, especially in scenarios requiring reliable and interpretable predictions. Many common parametric approaches rely on neural networks to estimate…