3 papers
q-fin.RM2021
Risk and return prediction for pricing portfolios of non-performing consumer credit
Siyi Wang, Xing Yan, Bangqi Zheng +4
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the n…
q-fin.RM2020
The Causal Learning of Retail Delinquency
Yiyan Huang, Cheuk Hang Leung, Xing Yan +4
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects…
q-fin.RM2020
Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
Xing Yan, Weizhong Zhang, Lin Ma +2
We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic…