Efficient simulations for a Bernoulli mixture model of portfolio credit risk.

Ismail Basoglu Wolfgang Hörmann Halis Sak

Published in: Ann. Oper. Res. (2018)

Keyphrases

mixture model
credit risk
gaussian mixture model
em algorithm
probabilistic model
generative model
expectation maximization
density estimation
language model
maximum likelihood
model selection
unsupervised learning
evaluation method
credit risk evaluation
decision making
pattern recognition