4 papers
Foundation Models for Credit Risk Prediction: A Game Changer?
Bart Baesens, Andreas Goethals, Stefan Lessmann +10
Predictive models play a pivotal role in credit risk management, guiding critical decisions through accurate estimation of default probabilities and losses. Extensive research has…
Transfer Learning for Loan Recovery Prediction under Distribution Shifts with Heterogeneous Feature Spaces
Christopher Gerling, Hanqiu Peng, Ying Chen +1
Accurate forecasting of recovery rates (RR) is central to credit risk management and regulatory capital determination. In many loan portfolios, however, RR modeling is constrained…
Semi-structured multi-state delinquency model for mortgage default
Victor Medina-Olivares, Wangzhen Xia, Stefan Lessmann +1
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, w…
Incorporating data drift to perform survival analysis on credit risk
Jianwei Peng, Stefan Lessmann
Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk. Unlike most existing methods that implicitly assume a stat…