Bayesian probability of default models with Langevin dynamics

DOI10.1080/14697688.2025.2532025MaRDI QIDQ6912305zbMATH OpenFDO

Authors Andrea Conti, Giacomo Morelli

Publication date 22 October 2025

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2025.2532025

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Credit risk (91G40)

Cites work

• A data-driven explainable case-based reasoning approach for financial risk detection
• A new mixture cure model under competing risks to score online consumer loans
• Bayesian regularized artificial neural networks for the estimation of the probability of default
• Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research
• Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
• Company rating with support vector machines
• Consistency and fluctuations for stochastic gradient Langevin dynamics
• Machine learning for credit scoring: improving logistic regression with non-linear decision-tree effects
• MCMC using Hamiltonian dynamics
• Modeling default risk with support vector machines

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