The Institute of Statistical Mathematics
Satoshi Yamashita received the Ph.D. degree in Engineering from Kyoto University, Kyoto, Japan, in 1997. He is now a professor of the Institute of Statistical Mathematics, Tokyo, Japan. His research interests include statistical finance and statistical theory.
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
In this paper, the authors using a data set composed of five Japanese regional banks, propose an loss given default estimation model using a two-stage model, classification tree-based boosting and support vector regression (SVR).
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.