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Improving corporate bond recovery rate prediction using multi-factor support vector regressions
16 references·5 citing·43 second hop
Improving corporate bond recovery rate prediction using multi-factor support vector regressions (2018)Improving corporate bond recovery rate pr…Support vector regression for loss given default modelling (2014)Support vector regression for…Selection of Support Vector Machines based classifiers for credit risk domain (2014)Selection of Support Vector M…Ultimate recovery mixtures (2013)Ultimate recovery mixturesThe Determinants of Recovery Rates in the US Corporate Bond Market (2012)The Determinants of Recovery …Modeling frailty-correlated defaults using many macroeconomic covariates (2011)Modeling frailty-correlated d…Comparison of modeling methods for Loss Given Default (2011)Comparison of modeling method…Benchmarking regression algorithms for loss given default modeling (2011)Benchmarking regression algor…Forecasting bank loans loss-given-default (2010)Forecasting bank loans loss-g…Frailty Correlated Default (2009)Frailty Correlated DefaultSupport vector machines for credit scoring and discovery of significant features (2008)Support vector machines for c…Handbook on Information Technology in Finance (2008)Handbook on Information Techn…Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers (2005)Determinants of Recovery Rate…What Do We Know About Loss Given Default? (2004)What Do We Know About Loss Gi…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …Artificial Intelligence: The Strategy of Financial Risk Management (2024)Artificial Intelligence: The …Predicting loss given default using post-default information (2021)Predicting loss given default…Intertemporal defaulted bond recoveries prediction via machine learning (2021)Intertemporal defaulted bond …Using favorite data to analyze asymmetric competition: Machine learning models (2020)Using favorite data to analyz…Dynamic imbalanced business credit evaluation based on Learn++ with sliding time window and weight sampling and FCM with multiple kernels (2020)Dynamic imbalanced business c…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Bank Liquidity Creation (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Benchmarking state-of-the-art classification algorithms for credit scoring (2003)Development and application of consumer credit scoring models using profit-based classification measures (2014)Deep learning for limit order books (2018)Two-stage consumer credit risk modelling using heterogeneous ensemble learning (2019)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Merton, Robert C. (2010)A zero-adjusted gamma model for mortgage loan loss given default (2013)Enhancing two-stage modelling methodology for loss given default with support vector machines (2017)Credit rating analysis with support vector machines and neural networks: a market comparative study (2003)Credit scoring with a data mining approach based on support vector machines (2006)Machine Learning in Financial Crisis Prediction: A Survey (2011)An empirical comparison of conventional techniques, neural networks and the three stage hybrid Adaptive Neuro Fuzzy Inference System (ANFIS) model for credit scoring analysis: The case of Turkish credit card data (2012)Credit scoring using the clustered support vector machine (2014)Measuring Corporate Bond Mortality and Performance (1989)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform (2020)The Corporate Bankruptcy Decision (1989)Bank loan losses-given-default: A case study (2005)Loss given default models incorporating macroeconomic variables for credit cards (2011)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Credit Contagion from Counterparty Risk (2009)Affine Point Processes and Portfolio Credit Risk (2010)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Empirical Analysis of Liquidity (2014)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)The impact of loan loss provisioning on bank capital requirements (2018)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Risk Assessment for Banking Systems (2006)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Economic Catastrophe Bonds (2008)Systemic Risk Contributions (2011)
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References

  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 2009Frailty Correlated Default547 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
  • 2008Support vector machines for credit scoring and discovery of significant features336 cited
  • 2004What Do We Know About Loss Given Default?280 cited
  • 2011Benchmarking regression algorithms for loss given default modeling186 cited
  • 2010Forecasting bank loans loss-given-default171 cited
  • 2012The Determinants of Recovery Rates in the US Corporate Bond Market160 cited
  • 2011Comparison of modeling methods for Loss Given Default151 cited
  • 2014Selection of Support Vector Machines based classifiers for credit risk domain142 cited
  • 2011Modeling frailty-correlated defaults using many macroeconomic covariates113 cited
  • 2014Support vector regression for loss given default modelling105 cited
  • 2005Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers88 cited
  • 2013Ultimate recovery mixtures

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75 cited
  • 2008Handbook on Information Technology in Finance53 cited
  • Cited by

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    • 2020Using favorite data to analyze asymmetric competition: Machine learning models24 cited
    • 2021Predicting loss given default using post-default information18 cited
    • 2024Artificial Intelligence: The Strategy of Financial Risk Management16 cited