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Showing results 1 to 5 of 5
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An initial analysis of energy transition risks using the Banco de España’s FLESB stress-testing framework
Ferrer Pérez, Alex;
García Villasur, Javier;
Lavín San Segundo, Nadia;
Pablos, Irene;
Pérez Montes, Carlos
30-Nov-2021
Climate-related risk;
Transition risk;
Stress tests;
Probability of default;
Profitability;
Solvency;
Bancos;
Riesgos y liquidez;
Energía y política energética;
Regulación y supervisión de instituciones financieras;
España
Assessing the risk-return trade-off in loan portfolios
Mencía González, Javier
12-Jun-2009
Credit risk;
Probability of default;
Asset pricing;
Mean-variance allocation;
Stochastic discount factor;
Value at risk;
Valoración de activos;
Riesgos y liquidez;
Créditos;
España
Modelling the distribution of credit losses with observable and latent factors
Jiménez Zambrano, Gabriel;
Mencía González, Javier
9-Apr-2007
Credit risk;
Probability of default;
Loss distribution;
Stress test;
Contagion;
Probabilidad y procesos estocásticos;
Riesgos y liquidez;
España
Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation
Alonso, Andrés;
Carbó Martinez, José Manuel
25-Jan-2021
Aprendizaje automático;
Riesgo de crédito;
Predicción;
Probabilidad de impago;
Modelos IRB;
Machine learning;
Credit risk;
Prediction;
Probability of default;
IRB system;
Redes neuronales;
Predicción;
Inteligencia artificial;
Sistemas bancarios y actividad crediticia
Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation
Alonso, Andrés;
Carbó Martinez, José Manuel
24-May-2021
Aprendizaje automático;
Riesgo de crédito;
Predicción;
Probabilidad de impago;
Modelos IRB;
Machine learning;
Credit risk;
Prediction;
Probability of default;
IRB system;
Redes neuronales;
Predicción;
Inteligencia artificial;
Sistemas bancarios y actividad crediticia
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