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Mortgage default prediction is always on the table for financial institutions. Banks are interested in provision planning, while regulators monitor systemic risk, which this sector may possess. This research is focused on predicting defaults on a one-year horizon using data from the Ukrainian...
Persistent link: https://www.econbiz.de/10015047688
Corporate credit ratings provide multiple strategic, financial, and managerial benefits for decision-makers. Therefore, it is essential to have accurate and up-to-date ratings to continuously monitor companies’ financial situations when making financial credit decisions. Machine learning...
Persistent link: https://www.econbiz.de/10014419429
When managers and researchers encounter a dataset, they typically ask two key questions: (1) which model (from a candidate set) should I use? and (2) if I use a particular model, when is it going to likely work well for my business goal? This research addresses those two questions, and provides...
Persistent link: https://www.econbiz.de/10014040661
This paper proposes an integrated risk capital aggregation methodology based on the non-linear classification algorithm Random Forests. Random Forests offers the advantages of handling a large amount of data, allows for over-specification and requires neither assumptions about the distributions...
Persistent link: https://www.econbiz.de/10013033807
This paper presents a nonparametric approach to classification of data from lottery experiments. Using very basic mathematical tools the paper endeavors to answer the questions: How to determine the "average" subject in a group? How to find a subject presenting the most similar behavior to a...
Persistent link: https://www.econbiz.de/10013141177
Why do some economies grow faster than others? Do economies in the middle-income range face especially difficult challenges producing consistent growth? Using a transition matrix analysis on decade-level growth rates, we find that the data clearly reject the idea that middle-income economies...
Persistent link: https://www.econbiz.de/10011305298
Why do some economies grow faster than others? Do economies in the middle-income range face especially difficult challenges producing consistent growth? Using a transition matrix analysis on decade-level growth rates, we find that the data clearly reject the idea that middle income economies...
Persistent link: https://www.econbiz.de/10013009680
We design a novel empirical framework to examine market efficiency through out-of-sample(OOS) predictability. We frame the classic empirical asset pricing problem as a machine learningclassification problem. We construct classification models to predict return states. The prediction- based...
Persistent link: https://www.econbiz.de/10012826763
The question of how to assess research outputs published in journals is now a global concern for academics. Numerous journal ratings and rankings exist, some featuring perceptual and peer-review-based journal ranks, some focusing on objective information related to citations, some using a...
Persistent link: https://www.econbiz.de/10014036933
This paper investigates the main individual driving forces of Hungarian household credit risk and measures the shockabsorbing capacity of the banking system in relation to adverse macroeconomic events. The analysis relies on survey evidence gathered by the Magyar Nemzeti Bank (MNB) in January...
Persistent link: https://www.econbiz.de/10010322421