An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market

DOI10.1016/j.ejor.2015.09.014zbMath1346.62103OpenAlexW1929275767MaRDI QIDQ320966

Trevor Fitzpatrick, Christophe Mues

Publication date: 7 October 2016

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

Full work available at URL: https://eprints.soton.ac.uk/381624/1/1-s2.0-S0377221715008383-main.pdf__tid%253Db7f07864-6b55-11e5-9255-00000aab0f26%2526acdnat%253D1444045340_74ea767bc4f6f8d9a9423587019171e3

zbMATH Keywords

semi-parametric modelsrandom forestsboostingcredit scoringmortgages

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (11)

Credit default prediction from user-generated text in peer-to-peer lending using deep learning ⋮ Recommendation generation using personalized weight of meta-paths in heterogeneous information networks ⋮ A neuro-structural framework for bankruptcy prediction ⋮ Interpretable machine learning for imbalanced credit scoring datasets ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ Student and school performance across countries: a machine learning approach ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ A Bayesian approach to modeling mortgage default and prepayment ⋮ Predicting mortgage early delinquency with machine learning methods ⋮ Deep learning for limit order books ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Uses Software

• caret
• glmnet
• AppliedPredictiveModeling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Greedy function approximation: A gradient boosting machine.
• Ensemble classification based on generalized additive models
• Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research
• Boosting algorithms: regularization, prediction and model fitting
• Small area estimation of the homeless in Los Angeles: an application of cost-sensitive stochastic gradient boosting
• Statistical learning from a regression perspective
• A decision-theoretic generalization of on-line learning and an application to boosting
• Credit risk assessment using statistical and machine learning: Basic methodology and risk modeling applications
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Measuring classifier performance: a coherent alternative to the area under the ROC curve
• Classifier technology and the illusion of progress
• Recent developments in consumer credit risk assessment
• Comprehensible credit scoring models using rule extraction from support vector machines
• Applied Predictive Modeling
• Approximations of the critical region of the fbietkan statistic
• Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
• Benchmarking state-of-the-art classification algorithms for credit scoring
• Credit scoring with macroeconomic variables using survival analysis
• Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
• Bankruptcy prediction by generalized additive models
• Random forests
• Stochastic gradient boosting.

This page was built for publication: An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market