相关论文: Assessment of loan losses after default

Distributed Lag Models (DLMs) and similar regression approaches such as MIDAS have been used for many decades in econometrics and more recently to investigate how poor air quality adversely affects human health. In this paper we describe…

This study examines credit default prediction by comparing three techniques, namely SMOTE, SMOTE-Tomek, and ADASYN, that are commonly used to address the class imbalance problem in credit default situations. Recognizing that credit default…

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…

We consider that the price of a firm follows a non linear stochastic delay differential equation. We also assume that any claim value whose value depends on firm value and time follows a non linear stochastic delay differential equation.…

Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage…

A major part of the balance sheets of the largest US banks consists of credit card portfolios. Hence, managing the charge-off rates is a vital task for the profitability of the credit card industry. Different macroeconomic conditions affect…

Building defect prediction models based on online learning can enhance prediction accuracy. It continuously rebuilds a new prediction model, when a new data point is added. However, a module predicted as "non-defective" can result in fewer…

Sensor-based degradation signals measure the accumulation of damage of an engineering system using sensor technology. Degradation signals can be used to estimate, for example, the distribution of the remaining life of partially degraded…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…

In this paper authors present a general methodology for age dependent reliability analysis of degrading or ageing systems, structures and components.The methodology is based on Bayesian methods and inference, its ability to incorporate…

We introduce a Loss Discounting Framework for model and forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. We use a loss function to score the performance of different models…

Technical debt (TD) refers to the long-term costs associated with suboptimal design or code decisions in software development, often made to meet short-term delivery goals. Self-Admitted Technical Debt (SATD) occurs when developers…

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…

Keeping track of and managing Self-Admitted Technical Debts (SATDs) is important for maintaining a healthy software project. Current active-learning SATD recognition tool involves manual inspection of 24% of the test comments on average to…

Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal…

Estimation of a regression function from independent and identically distributed random variables is considered. The $L_2$ error with integration with respect to the design measure is used as an error criterion. Over-parametrized deep…

Wood products that are subjected to sustained stress over a period of long duration may weaken, and this effect must be considered in models for the long-term reliability of lumber. The damage accumulation approach has been widely used for…

This paper is concerned with forecast error, particularly in relation to loss reserving. This is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their…

This paper focuses on modelling loss reserving to pay outstanding claims. As the amount liable on any given claim is not known until settlement, we propose a flexible model via heavy-tailed and skewed distributions to deal with outstanding…

The concept of Label Distribution Learning (LDL) is a technique to stabilize classification and regression problems with ambiguous and/or imbalanced labels. A prototypical use-case of LDL is human age estimation based on profile images.…