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Can machine learning models save capital for banks? Evidence from a Spanish credit portfolio
14 references·1 citing·51 second hop
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The Effe…Consumer-lending discrimination in the FinTech Era (2021)Consumer-lending discriminati…Universal features of price formation in financial markets: perspectives from deep learning (2019)Universal features of price f…Grabit: Gradient tree-boosted Tobit models for default prediction (2019)Grabit: Gradient tree-boosted…A robust machine learning approach for credit risk analysis of large loan level datasets using deep learning and extreme gradient boosting (2019)A robust machine learning app…Regulatory learning: How to supervise machine learning models? 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References

  • 2010Consumer credit-risk models via machine-learning algorithms861 cited
  • 2021Predictably Unequal? The Effects of Machine Learning on Credit Markets767 cited
  • 2021Consumer-lending discrimination in the FinTech Era655 cited
  • 2005Credit Cycles, Credit Risk, and Prudential Regulation609 cited
  • 2019Universal features of price formation in financial markets: perspectives from deep learning267 cited
  • 2015Risk and Risk Management in the Credit Card Industry260 cited
  • 2018Predicting mortgage default using convolutional neural networks181 cited
  • 2015An empirical evaluation of the performance of binary classifiers in the prediction of credit ratings changes169 cited
  • 2019Grabit: Gradient tree-boosted Tobit models for default prediction98 cited
  • 2022Measuring the model risk-adjusted performance of machine learning algorithms in credit default prediction81 cited
  • 2022Return on investment on artificial intelligence: The case of bank capital requirement48 cited
  • 2021Predicting French SME failures: new evidence from machine learning techniques40 cited
  • 2018Regulatory learning: How to supervise machine learning models? An application to credit scoring37 cited
  • 2019A robust machine learning approach for credit risk analysis of large loan level datasets using deep learning and extreme gradient boosting

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  • 2023Knowledge mapping of model risk in banking21 cited