Technical paper/Loans
Fintech lending and firm bankruptcies
The authors use data from small business bankruptcy at a county level in California to investigate the impact of fintech lending.
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting
Characteristics of student loan credit recovery: evidence from a micro-level data set
The carbon equivalence principle: minimising the cost to carbon net zero
A method to align incentives with sustainability in financial markets is introduced
Credit contagion risk in German auto loans
The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Banking on personality: psychometrics and consumer creditworthiness
This paper uses empirical methods to investigate how psychometric data can be used to augment traditional credit models.
Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
The authors validate 12 of the most representative sample-balancing methods used for credit-scoring models, finding that a combined SMOTE and Editor Nearest Neighbor method is optimal.
The loss optimization of loan recovery decision times using forecast cashflows
In this paper, a theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimized.
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
The impact of data aggregation and risk attributes on stress testing models of mortgage default
In this paper, the authors investigate how data aggregation and risk attributes affect the development and performance of stress testing models by studying residential mortgage loan defaults.
Stress testing household debt
The authors estimate a county-level model of household delinquency and use it to conduct “stress tests” of household debt.
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
This paper analyzes whether in Italy the price of consumer loans is based on borrower-specific credit risk.