Explainable machine learning for financial risk management: two practical use cases

DOI10.1080/02331888.2024.2401078MaRDI QIDQ6633384zbMATH OpenFDO

Authors Paolo Pagnottoni, Alessandro Spelta

Publication date 5 November 2024

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2024.2401078

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Bayesian variable selection for matrix autoregressive models
• Deep learning for finance: deep portfolios
• Explaining individual predictions when features are dependent: more accurate approximations to Shapley values
• Interpretable machine learning for imbalanced credit scoring datasets
• Matrix autoregressive models: generalization and Bayesian estimation

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