5 citations · 7 across the 3 of their papers we have counts for
5 papers
Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings?
Matthew Harding, Gabriel F. R. Vasconcelos
We use machine learning techniques to investigate whether it is possible to replicate the behavior of bank managers who assess the risk of commercial loans made by a large commerci…
Predicting Mortality from Credit Reports
Giacomo De Giorgi, Matthew Harding, Gabriel Vasconcelos
Data on hundreds of variables related to individual consumer finance behavior (such as credit card and loan activity) is routinely collected in many countries and plays an importan…
Short-Term Covid-19 Forecast for Latecomers
Marcelo Medeiros, Alexandre Street, Davi Valladão +2
The number of Covid-19 cases is increasing dramatically worldwide. Therefore, the availability of reliable forecasts for the number of cases in the coming days is of fundamental im…
Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
Mehmet Caner, Marcelo Medeiros, Gabriel Vasconcelos
We provide a new theory for nodewise regression when the residuals from a fitted factor model are used. We apply our results to the analysis of the consistency of Sharpe ratio esti…
BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
Yuri Fonseca, Marcelo Medeiros, Gabriel Vasconcelos +1
In this paper, we introduce a new machine learning (ML) model for nonlinear regression called the Boosted Smooth Transition Regression Trees (BooST), which is a combination of boos…