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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Backtesting value-at-risk accuracy: a simple new test
Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10003697509
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Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
Dumitrescu, Elena; Hué, Sullivan; Hurlin, Christophe; … - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1178-1192
Persistent link: https://www.econbiz.de/10013263050