3 citations · 5 across the 3 of their papers we have counts for
3 papers
Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials
Sullivan Hué, Christophe Hurlin, Yang Lu
We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popul…
Measuring the Driving Forces of Predictive Performance: Application to Credit Scoring
Hué Sullivan, Hurlin Christophe, Pérignon Christophe +1
As they play an increasingly important role in determining access to credit, credit scoring models are under growing scrutiny from banking supervisors and internal model validators…
The Fairness of Credit Scoring Models
Christophe Hurlin, Christophe Pérignon, Sébastien Saurin
In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also discriminate between individuals sharing…