相关论文: R\'eint\'egration des refus\'es en Credit Scoring
Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…
We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a…
The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…
Risk scores are an interpretable and actionable class of machine learning models with applications in medicine, insurance, and risk management. Unlike most computational methods, risk scores are designed to be computed by a human by…
Given information about which options a decision-maker definitely rejects from given finite sets of options, we study the implications for decision-making with E-admissibility. This means that from any finite set of options, we reject those…
Performance period determination and bad definition for credit scorecard has been a mix of fortune for the typical data modeler. The lack of literature on these matters led to a proliferation of approaches and techniques to solve the…
Sequential testing problems involve a complex system with several components, each of which is "working" with some independent probability. The outcome of each component can be determined by performing a test, which incurs some cost. The…
Manual approvals are still used by banks and other NGOs to approve loans. It takes time and is prone to mistakes because it is controlled by a bank employee. Several fields of machine learning mining technologies have been utilized to…
In a recurrent events setting, we introduce a new score designed to evaluate the prediction ability, for a given model, of the expected cumulative number of recurrent events. This score allows to take into account the individual history of…
Risk-adjusted quality measures are used to evaluate healthcare providers while controlling for factors beyond their control. Existing healthcare provider profiling approaches typically assume that the risk adjustment is perfect and the…
This paper proposes a two-stage scoring approach to help lenders decide their fund allocations in the peer-to-peer (P2P) lending market. The existing scoring approaches focus on only either probability of default (PD) prediction, known as…
The score test statistic using the observed information is easy to compute numerically. Its large sample distribution under the null hypothesis is well known and is equivalent to that of the score test based on the expected information, the…
Abstaining classifiers have the option to refrain from providing a prediction for instances that are difficult to classify. The abstention mechanism is designed to trade off the classifier's performance on the accepted data while ensuring a…
Many U.S. colleges now use test-optional admissions. A frequent claim is that by not seeing standardized test scores, a college can admit a student body it prefers, say with more diversity. But how can observing less information improve…
Automated systems have been widely adopted across the educational testing industry for open-response assessment and essay scoring. These systems commonly achieve performance levels comparable to or superior than trained human raters, but…
Credit scoring models are the primary instrument used by financial institutions to manage credit risk. The scarcity of research on behavioral scoring is due to the difficult data access. Financial institutions have to maintain the privacy…
This paper takes a deep learning approach to understand consumer credit risk when e-commerce platforms issue unsecured credit to finance customers' purchase. The "NeuCredit" model can capture both serial dependences in multi-dimensional…
In this paper, we revisit the task of negation resolution, which includes the subtasks of cue detection (e.g. "not", "never") and scope resolution. In the context of previous shared tasks, a variety of evaluation metrics have been proposed.…
Consider the following Stochastic Score Classification Problem. A doctor is assessing a patient's risk of developing a certain disease, and can perform $n$ tests on the patient. Each test has a binary outcome, positive or negative. A…
Rejection Sampling is a fundamental Monte-Carlo method. It is used to sample from distributions admitting a probability density function which can be evaluated exactly at any given point, albeit at a high computational cost. However,…