Fuzzy decision fusion approach for loss-given-default modeling

DOI10.1016/J.EJOR.2017.04.008MaRDI QIDQ1683113zbMATH OpenOpenAlexFDO

Authors Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi

Publication date 6 December 2017

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.04.008

zbMATH Keywords

risk managementcorporate bondsmacroeconomic variablesfuzzy rule-based modelloss-given-default modeling

Mathematics Subject Classification ID

Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• A dynamic overproduce-and-choose strategy for the selection of classifier ensembles
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Improving corporate bond recovery rate prediction using multi-factor support vector regressions
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Support vector regression for loss given default modelling
• Theoretical foundations of the potential function method in pattern recognition learning

Cited in

(10)

• Systematic effects among loss given defaults and their implications on downturn estimation
• Loss functions for loss given default model comparison
• Explainable models of credit losses
• Improving corporate bond recovery rate prediction using multi-factor support vector regressions
• Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method
• Intertemporal defaulted bond recoveries prediction via machine learning
• scientific article; zbMATH DE number 1736337 (Why is no real title available?)
• Loss given default decomposition using mixture distributions of in-default events
• The profitability of online loans: a competing risks analysis on default and prepayment
• Support vector regression for loss given default modelling

Describes a project that uses

Uses Software

• LIBSVM

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