Graduate University for Advanced Studies
Yuta Tanoue received the Ph.D. degree in Statistical science from The Graduate university for advanced studies, Tokyo, Japan, in 2017. He is now a
Project Assist. Prof. 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.