Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
Work
Year: 2022
Type: article
Abstract: We model multi-period cumulative and forward corporate default probabilities using machine learning methods and introduce a novel hybrid econometric-machine learning model which combines tree-boosting... more
Authors Fabio Sigrist, Nicola Leuenberger
Institution Lucerne University of Applied Sciences and Arts
Cites: 50
Cited by: 25
Related to: 10
FWCI: 5.896
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: hybrid
APC paid (est): $3,290
Grant ID 55463.1 IP-IC’