This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities … default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by …

This paper examines the disparity in default risk between vulnerable and non-vulnerable populations in consumer lending … the probability of default. We find that vulnerable individuals have a higher risk than non-vulnerable individuals …. Specifically, interest rates explain at least 30 percent of the risk gap. We also find that the default probabilities faced by …

With the record high leverage across all segments of the (global) economy, default prediction has never been more … defaulters, we model default probability using a doubly stochastic Poisson process. Our paper is unique in that it uses a large … 76%, one and three years prior to default, respectively. What we lose in (data) quality, we regain in (data) quantity …