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

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

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Authors

Alonso-Robisco, Andres
Carbó, José Manuel

Issue Date

24-May-2021

Physical description

3 p.

Notes

Summary of Banco de España Working Paper no. 2105

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Research Update / Banco de España, Spring 2021, p. 11-13

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Subjects

Aprendizaje automático; Riesgo de crédito; Predicción; Probabilidad de impago; Modelos IRB; Machine learning; Credit risk; Prediction; Probability of default; IRB system; Big data e inteligencia artificial; Sistemas bancarios y actividad crediticia; Métodos Econométricos y Estadísticos; Modelización econométrica

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Research Update 2021