A dimension reduction approach for loss valuation in credit risk modelling.
Jian HeAsma KhedherPeter SpreijPublished in: CoRR (2024)
Keyphrases
- dimension reduction
- credit risk
- credit risk evaluation
- evaluation method
- principal component analysis
- high dimensional
- credit scoring
- risk analysis
- feature extraction
- low dimensional
- feature selection
- variable selection
- linear discriminant analysis
- singular value decomposition
- high dimensional data
- high dimensionality
- commercial banks
- evaluation model
- unsupervised learning
- dimensionality reduction
- cluster analysis
- fraud detection
- feature space
- financial data
- exchange rate
- active learning
- credit card
- preprocessing
- pattern recognition
- logistic regression