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Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
16 references·5 citing·37 second hop
Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities (2022)Machine learning for corporate default ri…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Machine learning models and bankruptcy prediction (2017)Machine learning models and b…Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research (2015)Benchmarking state-of-the-art…In Search of Distress Risk (2008)In Search of Distress RiskForecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Probabilistic Forecasts, Calibration and Sharpness (2007)Probabilistic Forecasts, Cali…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Assessing the Probability of Bankruptcy (2004)Assessing the Probability of …Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Dynamic Capital Structure Choice: Theory and Tests (1989)Dynamic Capital Structure Cho…Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Methodological Issues Related…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Transforming credit risk assessment: A systematic review of AI and machine learning applications (2025)Transforming credit risk asse…Class imbalance Bayesian model averaging for consumer loan default prediction: The role of soft credit information (2024)Class imbalance Bayesian mode…An Empirical Comparison of Machine Learning Techniques for Bank Loan Approval Prediction (2024)An Empirical Comparison of Ma…Explainable artificial intelligence modeling to forecast bitcoin prices (2023)Explainable artificial intell…Bankruptcy prediction using machine learning and Shapley additive explanations (2023)Bankruptcy prediction using m…Financial Ratios As Predictors of Failure (1966)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Limited-dependent and qualitative variables in econometrics (1983)Do Managers Withhold Bad News? (2008)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)Elicitation of Personal Probabilities and Expectations (1971)Comparing Predictive Accuracy (1994)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)Editor's Choice Digesting Anomalies: An Investment ApproachAdvances in prospect theory: Cumulative representation of uncertainty (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)… and the Cross-Section of Expected Returns (2015)A five-factor asset pricing model (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Modeling Term Structures of Defaultable Bonds (1999)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1984Methodological Issues Related to the Estimation of Financial Distress Prediction Models2,889 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2007Probabilistic Forecasts, Calibration and Sharpness1,774 cited
  • 1989Dynamic Capital Structure Choice: Theory and Tests1,572 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 2015Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research1,277 cited
  • 2006Multi-period corporate default prediction with stochastic covariates

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973 cited
  • 2017Machine learning models and bankruptcy prediction952 cited
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    • 2025Transforming credit risk assessment: A systematic review of AI and machine learning applications17 cited
    • 2024Class imbalance Bayesian model averaging for consumer loan default prediction: The role of soft credit information15 cited