Take it to the limit: Innovative CVaR applications to extreme credit risk measurement.

David E. Allen R. J. Robert Abhay K. Singh

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

credit risk
credit risk evaluation
evaluation method
risk analysis
credit scoring
listed companies
commercial banks
financial data
exchange rate
evaluation model
fraud detection
neural network
machine learning
decision problems
logistic regression
loss function
decision makers
multi class