The generalized Vasicek credit risk model: A Machine Learning approach

Author:

García-Céspedes Rubén,Moreno ManuelORCID

Funder

Ministerio de Economía y Competitividad

Junta de Comunidades de Castilla-La Mancha

Publisher

Elsevier BV

Subject

Finance

Reference15 articles.

1. Basel II: International convergence of capital measurement and capital standards: a revised framework - comprehensive version;Basel Committee on Bank Supervision,2006

2. Basel III: A global regulatory framework for more resilient banks and banking systems;Basel Committee on Bank Supervision,2010

3. Risk and risk management in the credit card industry;Butaru;J. Bank. Financ.,2016

4. A logistic regression model for consumer default risk;Costa;J. Appl. Stat.,2020

5. A simple multi-factor factor adjustment for the treatment of diversification in credit capital rules;García;J. Credit Risk,2006

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