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Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation

Authors :
Alonso, Andrés
Carbó Martinez, José Manuel
Source :
Repositorio Institucional del Banco de España, Banco de España
Publication Year :
2021
Publisher :
Banco de España, 2021.

Abstract

Summary of Banco de España Working Paper no. 2105

Subjects

Subjects :
Probability of default
Sistemas bancarios y actividad crediticia
Modelos IRB
Probabilidad de impago
Machine learning
IRB system
Riesgo de crédito
Predicción
Redes neuronales
Prediction
Aprendizaje automático
Credit risk
Inteligencia artificial

Details

Database :
OpenAIRE
Journal :
Repositorio Institucional del Banco de España, Banco de España
Accession number :
edsair.dedup.wf.001..0f2859e99aaccb5c229d808b2ede7bd9

Tools

Authors Abstract Subjects Details