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Opening the black box – Quantile neural networks for loss given default prediction · Study

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ArticleOpening the black box – Quantile neural networks for loss given default prediction

Ralf Kellner2021

Article2021

Opening the black box – Quantile neural networks for loss given default prediction

Ralf Kellner · Maximilian Nagl · Daniel Rösch

54 citations·0/0 files stored·Journal of Banking & Finance

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Financial Distress and Bankruptcy Prediction Banking stability, regulation, efficiency Credit Risk and Financial Regulations

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References

2019DeepAR: Probabilistic forecasting with autoregressive recurrent networks 2020Empirical Asset Pricing via Machine Learning 2018Deep learning models for bankruptcy prediction using textual disclosures 2021Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects 2018Empirical Asset Pricing via Machine Learning 2008Loss given default of high loan-to-value residential mortgages 2011Benchmarking regression algorithms for loss given default modeling 2018Predicting mortgage default using convolutional neural networks

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2024PREDICTING STOCK MARKET MOVEMENTS USING NEURAL NETWORKS: A REVIEW AND APPLICATION STUDY 2025Emerging technologies in finance: challenges for a sustainable finance 2024Interpretable machine learning for creditor recovery rates

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2018Loss functions for Loss Given Default model comparisonarticle · 8 shared references 2021Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approacharticle · 7 shared references 2019Predicting loss given default in leasing: A closer look at models and variable selectionarticle · 7 shared references 2021Local logit regression for loan recovery ratearticle · 7 shared references 2017Fuzzy decision fusion approach for loss-given-default modelingarticle · 6 shared references 2021Intertemporal defaulted bond recoveries prediction via machine learningarticle · 6 shared references

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Year2021

Typearticle

Published2021-10-13

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations54

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.1016/j.jbankfin.2021.106334

openalex_workW3205653380

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