Intertemporal defaulted bond recoveries prediction via machine learning

DOI10.1016/J.EJOR.2021.06.047MaRDI QIDQ2060436zbMATH OpenOpenAlexFDO

Authors Abdolreza Nazemi, Friedrich Baumann, Frank J. Fabozzi

Publication date 13 December 2021

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

Full work available at URL https://doi.org/10.1016/j.ejor.2021.06.047

zbMATH Keywords

financemachine learningnews-based analysispower expectation propagationrecovery ratesrisk management

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A unifying framework for Gaussian process pseudo-point approximations using power expectation propagation
• Fuzzy decision fusion approach for loss-given-default modeling
• Improving corporate bond recovery rate prediction using multi-factor support vector regressions
• Intertemporal forecasts of defaulted bond recoveries and portfolio losses
• Local volatility and the recovery rate of credit default swaps
• Loss functions for loss given default model comparison
• Support vector regression for loss given default modelling

Cited in

(7)

• Intertemporal forecasts of defaulted bond recoveries and portfolio losses
• Non-linearity and the distribution of market-based loss rates
• Accelerated double-sketching subspace Newton
• The many Shapley values for explainable artificial intelligence: a sensitivity analysis perspective
• High-dimensional macroeconomic stress testing of corporate recovery rate
• Multi-output shrunken regression trees
• Improving corporate bond recovery rate prediction using multi-factor support vector regressions

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