This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...

The interest collected by the main borrowers is collected to pay back the principal borrowed from the depositary bank. In financial risk management, credit risk assessment is becoming a significant sector. For the credit risk assessment of client data sets, many credit risk analysis methods are...

In recent years, machine learning (ML) techniques have become very popular as, in many cases, they outperform other classic methods such as regressions. However, ML techniques usually have two main drawbacks as the marginal effects of the variables of the model may a) be counterintuitive, and b)...