Proposing an innovative real-time monitoring approach for the parameter stability of credit-default prediction model-Reference-Cited by-同舟云学术

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Proposing an innovative real-time monitoring approach for the parameter stability of credit-default prediction model

Published:2024-01-19 Issue: Volume: Page:1-12
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Liu Linzi¹,Lai Xin²,Cai Xiaofang³,Huang Wei (Wayne)¹³,Miao Weimin⁴

Affiliation:

1. School of Management, Xi’an Jiaotong University, Xi’an, China

2. School of Computer Science and Technology, Xi’an Jiaotong University, Xi’an, China

3. College of Business, Southern University of Science and Technology, Shenzhen, China

4. Risk Management Institute, National University of Singapore, Singapore, Singapore

Funder

National Natural Science Foundation of China

National Center for Applied Mathematics Shenzhen

National Lab of Mechanical Manufacturing Systems Engineering at XJTU

Shenzhen Key Research Base in Arts & Social Sciences

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2024.2305157

Reference55 articles.

1. Bootstrap control charts in monitoring value at risk in insurance

2. Phase II monitoring of multivariate simple linear profiles with estimated parameters

3. Structural Breaks, Biased Estimations, and Forecast Errors in a GDP Series of Canada versus the United States

4. A parameters reduction method for monitoring multiple linear regression profiles

5. A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models

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