3 papers
econ.GN2020
Portfolio Risk Measurement Using a Mixture Simulation Approach
Seyed Mohammad Sina Seyfi, Azin Sharifi, Hamidreza Arian
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometime…
econ.GN2020
Forecasting Probability of Default for Consumer Loan Management with Gaussian Mixture Models
Hamidreza Arian, Seyed Mohammad Sina Seyfi, Azin Sharifi
Credit scoring is an essential tool used by global financial institutions and credit lenders for financial decision making. In this paper, we introduce a new method based on Gaussi…
cs.LG2020
A Novel Classification Approach for Credit Scoring based on Gaussian Mixture Models
Hamidreza Arian, Seyed Mohammad Sina Seyfi, Azin Sharifi
Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification tech…