Loan pricing under estimation risk

DOI10.1515/STRM-2016-0005zbMath1409.91267OpenAlexW2613459672MaRDI QIDQ2397485

Lauren Hannah, Richard Neuberg

Publication date: 22 May 2017

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2016-0005

zbMATH Keywords

credit scoringdefault probability predictionestimation risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Credit risk (91G40)

Uses Software

• ElemStatLearn

Cites Work

• A Mathematical Theory of Communication
• Robust weighted kernel logistic regression in imbalanced and rare events data
• On general minimax theorems
• Bootstrap methods: another look at the jackknife
• Support-vector networks
• Consistency and robustness of kernel-based regression in convex risk minimization
• A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
• Modelling consumer credit risk
• Benchmarking state-of-the-art classification algorithms for credit scoring
• Strictly Proper Scoring Rules, Prediction, and Estimation
• A fast dual algorithm for kernel logistic regression
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