2018How to evaluate models: Observed vs. predicted or predicted vs. observed? by G. Pineiro, S. Perelman, J.P Guerschman, J. Paruelo, 7 pages, #observed, #predicted, #RMS, #RMSD
Improving classification performance with discretization on biomedical datasets by J. L. Lustgarten, V. Gopalakrishnan, H. Grover, S. Visweswaran, 5 pages, #discretization
2017Stress Testing as a Catalyst for BCBS 239 – or Vice Versa? by reinie, #moodys, #Stress test, #webinar - Stress testing
Stress testing macro stress testing: does it live up to expectations? by C.Borio, M. Drehmann & K. Tsatsaronis, BIS, 22 pages, #BIS, #Stress test - Stress testing
Progress in adopting the Principles for effective risk data aggregation and risk reporting 2017 by BIS, 23 pages
IFRS9: A silent revolution in banks’s business models by Mc Kinsey, F.maggi, A. Natale, T. Pepanides, E. Risso, G. Schröck, 9 pages, #IFRS9, #loss provision
Neural network as challenger in classification tasks by DataQuest, 6 pages, #neural network, #python - Credit Risk
Five myths about variable selection by Georg Heinze, Daniela Dunkler, Transplant international, 5 pages, #model, #modelling, #multivariate, #selection, #univariate - Credit Risk
2016Internal default Risk Models. Alive and Kicking? by C. Zazzara , S&P, #default, #PRA - Credit Risk
2015The “Four lines of defence model” for financial institutions by I.Arndorfer, A.Minot, BIS, Utrecht university, 26 pages, #audit, #defence, #FSI
Stress testing the UK banking System: 2015 key elements by Bank of England, 17 pages, #Bank of England - Stress testing
Progress in adopting the Principles for effective risk data aggregation and risk reporting 2015 by BIS, 15 pages, #Basel, #BIS, #data aggregation, #risk reporting
Model, model risk and running effective model management programs by Cognizant, 9 pages, #inventory, #model risk
2014Distressed Firm and Bankruptcy prediction in an international context by Altman, Malgorzata, 47 pages, #Altman, #SME - Credit Risk
How to link macro-economic scenarios to risk drivers by Moody's, #moodys, #Stress test, #webinar - Stress testing
Default prediction for SME using discriminant and survival models, evidence from Polish market by A. Ptak-Chmielewska & A. Matuszyk, 13 pages, #Altman, #AUC, #AUROC, #Poland, #SME, #survival analysis - Credit Risk
Credit risk model for SME in the Netherlands by J.Hessel Veurink, M. Mastrogiacomo, 43 pages, #SME, #the Netherlands - Credit Risk
Stress testing the UK banking system: 2014, key elements by Bank of England, 23 pages, #Bank of England, #Stress test - Stress testing
Summary of feedback received on the stress testing Discussion paper by Bank Of England, 13 pages, #Bank of England, #framework, #Stress test - Stress testing
Principle for sound stress testing by Bank of England, web pages, #Reverse stress test, #Stress testing - Stress testing
2013A survey of discretization techniques: taxonomy and empirical analysis in supervised learning by S. Garcia, J. Luengo, J. A. Sáez, V. López, F. Herrera, IEEE Computer Society, 16 pages, #discretisation - Credit Risk
Deposit Stress Testing by Moody’s analytics, 8 pages, #Deposit, #moodys, #Stress test - Stress testing
A better Beta for the H measure of classification performance by D.J Hand, C. Anagnostopolous, 12 pages, #AUC, #H measure - Credit Risk
The Real Stress Scenario Will be the next Boom by Moody’s analytics, 2 pages, #moodys, #Stress test - Stress testing
Stress testing and “Incorrect” Signs by Moody’s analytics, 5 pages, #Stress test, #wrong sign - Stress testing
A framework for stress testing the UK banking system by Bank of England, 41 pages, #Bank of England, #Stress test - Stress testing
A discretization method based on maximizing the area under receiver operating characteristic curve by M. Kurtcephe, H. A. Güvenir, Bilkent University, 25 pages, #AUC, #AUROC, #discretisation, #discretization - Credit Risk
2012Determinants of SME loan default: the importance of borrow-level heterogeneity by F. McCann & T. McIndoe-Calder, 32 pages, #probit, #SME - Credit Risk
Complying with the new supervisory guidance on Model Risk by RMA journal, Shaheen Dil, 5 pages, #model risk
Reverse Stress testing from a Macroeconomic Viewpoint by Moody’s analytics, 14 pages, #moodys, #Stress test - Stress testing
Estimation of Probability of Defaults (PD) for Low Default Portfolios: An actuarial Approach by Nabil Iqbal, Syed Afraz Ali, 18 pages, #low default, #PD - Credit Risk
2011Bâle III, Risque de liquidité et Stress Test by Christine Brocard, 2 pages, #LCR, #Northern Rock, #Stress test - Stress testing
2010Assessing the Performance of Prediction Models by E.W.Steyberg, A.J.Vickers et al, 11 pages, #model, #performance, #prediction - Credit Risk
Robust logistic diagnostic for the identification of high leverage points in logistic regression model by B.A Syaiba, M. Habshah, University Putra Malaysia, 9 pages, #leverage, #logistic regression, #outliers - Credit Risk
2008The value of qualitative information in SME Risk Management by Altman, Sabato, Wilson, 40 pages, #Altman, #SME - Credit Risk
Credit scoring with macroeconomic variables using survival analysis by T. Bellotti, J. Crook, university of Edinburgh, 28 pages, #macroeconomic variables, #survival - Credit Risk
Components of yield curve movements by R.Franlkland, E. Biffis, D. Dullaway, S. Eshun, A. Holtham, A.D. Simith, E. Varnell, T. Wilkins, 22 pages, #cholesky, #yield curve - Market risk
2007Credit scoring with macroeconomic variables using survival analysis by Tony Bellotti, Jonathan Crook, Credit Research Centre Management School and Economics, University of Edinburgh, 19 pages, #cox model, #credit cards, #survival analysis - Credit Risk
Modelling Credit risk for SMEs: Evidence from the US market by Altman, Sabato, 43 pages, #Altman, #SME - Credit Risk
Portfolio Stress Testing by Moody’s analytics, 6 pages, #moodys, #portfolio, #Stress test - Stress testing
2006Default rates in the loan market for SMEs: Evidence from Slovakia by J.Fidrmuc, C.Hainz, A. Malesich, the William Davidson Institute, Univeristy of Michigan, 29 pages, #Altman, #Slovakia, #SME - Credit Risk
The Difference between significant and not significant is not itself statistically significant by A. Gelman, H. Stern, 4 pages, #significance
2006 Corporate Credit Risk Modelling and the Macroeconomy by K. Carling, T.Jacobson, J. Lindé, K. Roszbach, 29 pages, #corporate, #duration, #macroeconomy - Credit Risk
2005Measuring the interest rate risk of Belgium regulated savings deposits by K. Maes, T. Timmermans, 15 pages, #Deposit, #savings - Market risk
2004A New Means of Presenting the Results of Logistic Regression by J. Smart, W. J. Sutherland, A. R. Watkinson, J. A. Gill, 3 pages, #logistic regression - Credit Risk
2002Oh NO! I got the Wrong Sign! What Should I do? by P. Kennedy, 18 pages, #econometrics, #wrong sign
2001Le rôle croissant des méthodes hédonistes dans l’établissement des statistiques officielles aux Etats Unis by R. Moulton, 17 pages, #French, #Méthode hédoniste - Credit Risk
Are Phillips Curves Useful for Forecasting Inflation? by A. Atkeson, L.E. Ohanian, 10 pages, #PhillipsCurve
2000Evaluation du risque de défaillance des entreprises by Thierry Kenel, 22 pages, #French, #mda, #neurone - Credit Risk
1991A note on a General Definition of the Coefficient of Determination by N.J.D Nagelkerke, Biometrika, 2 pages, #regression - Credit Risk
