Conference Archive

Review of Analytical Methods of Analysing Credit Risk

Madina Abdrakhmanova; Sanjukta Brahma
; ; ;

2015

Piecewise Logistic Regression - an Application in Credit Scoring

Raymond Anderson
; ; ;

2015

Banking System in Crisis: An Economic Capital Viewpoint

Konstantinos Papalamprou; Paschalis Antoniou
; ; ;

2015

Developments in Unsecured Capital and Impairment Forecasting

Rachel Bailey; Sam Lacy
; ; ;

2015

Some Statistical Reflections about Expected Loss

Anthony Bellotti
; ; ;

2015

Performance Measures of LGD Models

Katarzyna Bijak; Lyn Thomas
; ; ;

2015

Impact of Segmentation on the Performance Measures of LGD Models

Lyn Thomas; Katarzyna Bijak
; ; ;

2015

A Profit-Based Approach for Evaluating LGD Regressions (Abstract)

Cristián Bravo; Wouter Verbeke
; ; ;

2015

Consumer Risk Appetite, the Credit Cycle, and the Housing Bubble

Joseph Breeden; José Canals-Cerdá
; ; ;

2015

Instabilities Using Cox PH for Forecasting or Stress Testing Loan Portfolios

Joseph Breeden; Anthony Bellotti; Aleh Yablonski
; ; ;

2015

Calculating Optimal Limits for Transacting Credit Card Customers

Jonathan Budd; Peter Taylor
; ; ;

2015

What Personality Measures Could Predict Credit Repayment Behaviour?

Dean Caire; Galina Andreeva; Wendy Johnson
; ; ;

2015

Spatial Regression Models for UK SMEs

Raffaella Calabrese; Galina Andreeva; Jake Ansell
; ; ;

2015

Forclosure Pricing Model

Jakub Chrenko; Petr Kade?ábek
; ; ;

2015

Once in a Lifetime Change: PD Modelling Under IFRS9 An Investigation of Modelling Options and Overview of the Estimation Framework

Thomas Clifford; Pawel Tatarczyk; Robert Richter
; ; ;

2015

Dynamic Scores for Proactively Managing Through-the-Cycle Risk Prediction

Michael Cohen
; ; ;

2015

Exploring the Effects of Macroeconomic Variables on Credit Card Delinquency and Default Behaviour

Jonathan Crook; Mindy Leow
; ; ;

2015

Household Credit Constraints in European Countries

Jonathan Crook
; ; ;

2015

Sand Pile Modeling of Economic Variables for Credit Risk Applications

Joao Pires da Cruz; Kanshukan Rajaratnam; Peter Beling; George A. Overstreet Jr.; Helena Cruz
; ; ;

2015

Independent, Multi-Bureau Capable Scoring Solutions

Sebastian d'Elboux
; ; ;

2015

The Prediction of Time to Default for Personal Loans Using Mixture Cure Models: Including Macro-Economic Factors.

Lore Dirick; Anthony Bellotti; Gerda Claeskens; Bart Baesens
; ; ;

2015

Handling Improbable Labels

Lewis Evans; Niall Adams; Christoforos Anagnostopoulos
; ; ;

2015

Stochastic Gradient Boosting Approach to Daily Attrition Scoring Based on High-Dimensional RFM Features

Gerald Fahner
; ; ;

2015

Reasoning about Sequential Decisions for Customer Management

Gerald Fahner
; ; ;

2015

Modelling Operational Risk using Extreme Value Theory and Skew T-copulas

Betty Johanna Garzon Rozo; Jonathan Crook; Fernando Moreira
; ; ;

2015

Managing Customer Communications with Ultra-Large Scale Optimization

Sergio Vieira; Andy Harrison
; ; ;

2015

OTC Derivatives Market Reform: Looking Back and Looking Forward

Erik Heitfield
; ; ;

2015

Expanding the Credit Eligible Population in the USA: A Case Study

Andrew Jennings
; ; ;

2015

Behavioral Scoring Evolution: From Monthly Aggregates to Single Transactions

Petr Kaderabek; Marek Dvorak; Matej Kratochvil; Frantisek Navratil; Dana Primasova; Jozef Zubricky
; ; ;

2015

Multi-Bureau Data: Maximising Predictive Accuracy and Customer Understanding

Mark Kelly
; ; ;

2015

Collaborative Profiling - Predictive Profiling From Other Customers' Behaviour

Matthew Kennel; Scott Zoldi
; ; ;

2015

Cyber Analytics: Streaming Transaction Analytics to Identify Malevolent Cyber Intrusions

Jehangir Athwal; Scott Zoldi; Matthew Kennel
; ; ;

2015

Benchmarking Alternative Data for Scoring the "Uns"

Bailey Klinger
; ; ;

2015

Predicting and Monitoring Changes in Scoring Data

Vera Hofer; Georg Krempl
; ; ;

2015

A Survey of Random Forest Usage for Fraud Detection at Lloyds Banking Group

Adam Langron
; ; ;

2015

Analytical Solutions to Multi-Period Credit Portfolio Management: A Macroeconomic Approach

Juan M. Licari; Gustavo Ordóñez-Sanz
; ; ;

2015

Credit Risk Evaluation for Loan Guarantee Chain in China

Xinhai Liu; Xiangfeng Meng
; ; ;

2015

On the Heterogeneous Effects of Non-Credit-Related Information in Online P2P Lending: A Quantile Regression Analysis

Sirong Luo; Dengpan Liu; Yimin Ye
; ; ;

2015

Pricing in Information Orchestrators: Maximizing Stable Networks

Bernardo Lustosa; Alberto Luiz Albertin
; ; ;

2015

Exploring SME Behaviour Using GAM Models During the Financial Crisis

Meng Ma; Jake Ansell; Galina Andreeva
; ; ;

2015

A Mover-Stayer Model with Covariates for Installment Loans Repayment Process

Halina Frydman; Anna Matuszyk
; ; ;

2015

IFRS 9 : Evolution not Revolution

Nevan McBride
; ; ;

2015

Downturn' Estimates for Basel Credit Risk Metrics

Eric McVittie
; ; ;

2015

Forecasting Retail Credit Market Conditions

Eric McVittie
; ; ;

2015

Balance Sheet Constraints and Firesale Externalities

Jukka Isohätälä; Alistair Milne
; ; ;

2015

Confidence-Based Z-Score

Davide Mare; Fernando Moreira; Roberto Rossi
; ; ;

2015

Understanding Differential Cycle Sensitivity for Loan Portfolios. 

James O'Donnell
; ; ;

2015

The Comparative Analysis of Predictive Models for Credit Limit Utilization Rate

Denys Osipenko; Jonathan Crook
; ; ;

2015

Crisis and LGD: Developing a Model for the Retail Portfolio

Konstantinos Papalamprou; Paschalis Antoniou; Apostolos Doukas
; ; ;

2015

Workout Periods and Loss Given Default: Decomposing the Macroeconomic Effect on Recovery Rates

Dimitrios Papanastasiou
; ; ;

2015

Predicting Default on Credit Loans: A Frequentist vs. a Bayesian Approach

Daniel Lund; Rune Tousgaard Piil; Ana Alina Tudoran
; ; ;

2015

The Analysis of the Micro Enterprise Failures Using Survival Models.

Aneta Ptak-Chmielewska
; ; ;

2015

Better Attrition and Risk Predictions using Transactional and Non-traditional Data Sources with Temporal Behavior Maps

Shafi Rahman
; ; ;

2015

Better Risk and Attrition Predictions

Nitin Basant; Shafi Rahman
; ; ;

2015

Inflated Mixture Models: Applications to Multimodality in Loss Given Default

Mauro Ribeiro de Oliveira Junior; Francisco Louzada; Gustavo Henrique de Araujo Pereira; Fernando Moreira; Raffaella Calabrese
; ; ;

2015

Probabilistic Graphical Models for Reverse Stress Testing for Retail Banks

Mark Somers
; ; ;

2015

IFRS9 Modelling Approaches for Retail Portfolios

Mark Somers
; ; ;

2015

Fraud in E-commerce: an Approach with Social Network Analysis

Thaine Souza
; ; ;

2015

Should we Throw Away the Variance of Score Estimates?

Mark Surdutovich; Genaro Dueire Lins
; ; ;

2015

On a Systematic Hyperparameter Optimization Framework for Credit Scoring using R with Special Consideration of Class Imbalancy

Gero Szepannek
; ; ;

2015

Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds

Dirk Tasche
; ; ;

2015

It is not all about the Money. Bankruptcy Prediction using Relational Data.

Ellen Tobback; Julie Moeyersoms; Marija Stankova; David Martens
; ; ;

2015

Exposure at Default Models With and Without the Credit Conversion Factor

Edward Tong; Christophe Mues; Iain Brown; Lyn Thomas
; ; ;

2015

Credit Risk Modelling under Distressed Conditions

Yiannis Dendramis; Elias Tzavalis; Georgios Adraktas
; ; ;

2015

Estimating Non-cyclical PDs: A Case Study from Bulgaria

Hristiana Vidinova
; ; ;

2015

Application of Scoring Approach in the LGD Estimation

Ivana Zohova
; ; ;

2015