Fuzzy decision fusion approach for loss-given-default modeling
DOI10.1016/J.EJOR.2017.04.008zbMATH Open1376.91171OpenAlexW2606087171MaRDI QIDQ1683113FDOQ1683113
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
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risk managementcorporate bondsmacroeconomic variablesfuzzy rule-based modelloss-given-default modeling
Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)
Cites Work
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- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Theoretical foundations of the potential function method in pattern recognition learning
- Support vector regression for loss given default modelling
- Modeling frailty-correlated defaults using many macroeconomic covariates
- Improving corporate bond recovery rate prediction using multi-factor support vector regressions
- A dynamic overproduce-and-choose strategy for the selection of classifier ensembles
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
- Title not available (Why is that?)
- 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
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