An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market (Q320966): Difference between revisions

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English	An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market	scientific article

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scholarly article

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title

An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market (English)

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European Journal of Operational Research

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publication date

7 October 2016

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full work available at URL

https://eprints.soton.ac.uk/381624/1/1-s2.0-S0377221715008383-main.pdf__tid%253Db7f07864-6b55-11e5-9255-00000aab0f26%2526acdnat%253D1444045340_74ea767bc4f6f8d9a9423587019171e3

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zbMATH Keywords

boosting

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random forests

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semi-parametric models

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mortgages

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credit scoring

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describes a project that uses

caret

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AppliedPredictiveModeling

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glmnet

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MaRDI profile type

MaRDI publication profile

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cites work

Benchmarking state-of-the-art classification algorithms for credit scoring

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Bankruptcy prediction by generalized additive models

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Statistical learning from a regression perspective

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Small area estimation of the homeless in Los Angeles: an application of cost-sensitive stochastic gradient boosting

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Q3093310

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Random forests

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Q3327527

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Boosting algorithms: regularization, prediction and model fitting

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Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model

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Credit scoring with macroeconomic variables using survival analysis

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Recent developments in consumer credit risk assessment

0 references

Ensemble classification based on generalized additive models

0 references

Q3093335

0 references

A decision-theoretic generalization of on-line learning and an application to boosting

0 references

Greedy function approximation: A gradient boosting machine.

0 references

Stochastic gradient boosting.

0 references

Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)

0 references

Credit risk assessment using statistical and machine learning: Basic methodology and risk modeling applications

0 references

Q3096211

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Classifier technology and the illusion of progress

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Measuring classifier performance: a coherent alternative to the area under the ROC curve

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Q4187195

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Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion

0 references

Approximations of the critical region of the fbietkan statistic

0 references

Applied Predictive Modeling

0 references

Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research

0 references

Comprehensible credit scoring models using rule extraction from support vector machines

0 references

Q4261789

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Q3377936

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Identifiers

zbMATH Open document ID

1346.62103

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DOI

10.1016/j.ejor.2015.09.014

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:320966

@@ Property / cites work @@
+Benchmarking state-of-the-art classification algorithms for credit scoring
+Normal rank
@@ Property / cites work @@
+Bankruptcy prediction by generalized additive models
+Normal rank
@@ Property / cites work @@
+Statistical learning from a regression perspective
+Normal rank
@@ Property / cites work @@
+Small area estimation of the homeless in Los Angeles: an application of cost-sensitive stochastic gradient boosting
+Normal rank
@@ Property / cites work @@
+Q3093310
@@ Property / cites work: Q3093310 / rank @@
+Normal rank
@@ Property / cites work @@
+Random forests
@@ Property / cites work: Random forests / rank @@
+Normal rank
@@ Property / cites work @@
+Q3327527
@@ Property / cites work: Q3327527 / rank @@
+Normal rank
@@ Property / cites work @@
+Boosting algorithms: regularization, prediction and model fitting
+Normal rank
@@ Property / cites work @@
+Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
+Normal rank
@@ Property / cites work @@
+Credit scoring with macroeconomic variables using survival analysis
+Normal rank
@@ Property / cites work @@
+Recent developments in consumer credit risk assessment
+Normal rank
@@ Property / cites work @@
+Ensemble classification based on generalized additive models
+Normal rank
@@ Property / cites work @@
+Q3093335
@@ Property / cites work: Q3093335 / rank @@
+Normal rank
@@ Property / cites work @@
+A decision-theoretic generalization of on-line learning and an application to boosting
+Normal rank
@@ Property / cites work @@
+Greedy function approximation: A gradient boosting machine.
+Normal rank
@@ Property / cites work @@
+Stochastic gradient boosting.
@@ Property / cites work: Stochastic gradient boosting. / rank @@
+Normal rank
@@ Property / cites work @@
+Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
+Normal rank
@@ Property / cites work @@
+Credit risk assessment using statistical and machine learning: Basic methodology and risk modeling applications
+Normal rank
@@ Property / cites work @@
+Q3096211
@@ Property / cites work: Q3096211 / rank @@
+Normal rank
@@ Property / cites work @@
+Classifier technology and the illusion of progress
+Normal rank
@@ Property / cites work @@
+Measuring classifier performance: a coherent alternative to the area under the ROC curve
+Normal rank
@@ Property / cites work @@
+Q4187195
@@ Property / cites work: Q4187195 / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
+Normal rank
@@ Property / cites work @@
+Approximations of the critical region of the fbietkan statistic
+Normal rank
@@ Property / cites work @@
+Applied Predictive Modeling
@@ Property / cites work: Applied Predictive Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research
+Normal rank
@@ Property / cites work @@
+Comprehensible credit scoring models using rule extraction from support vector machines
+Normal rank
@@ Property / cites work @@
+Q4261789
@@ Property / cites work: Q4261789 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3377936
@@ Property / cites work: Q3377936 / rank @@
+Normal rank