Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities.
Fabio SigristNicola LeuenbergerPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- multi period
- machine learning
- risk assessment
- production planning
- planning horizon
- credit risk
- multi item
- probability distribution
- data mining
- facility location problem
- data envelopment analysis
- total cost
- routing problem
- risk management
- lot sizing
- learning algorithm
- active learning
- tabu search
- combinatorial optimization
- graphical models
- support vector machine
- bayesian networks
- decision making
- feature selection