ListarModelización, Optimización e Inferencia Estadística (MODES) por tema "Risk analysis"

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    • A Doubly Smoothed PD Estimator in Credit Risk 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (MDPI AG, 2020-09-01)
      [Abstract] In this work a doubly smoothed probability of default (PD) estimator is proposed based on a smoothed version of the survival Beran’s estimator. The asymptotic properties of both the smoothed survival and PD ...

    • Cost-sensitive thresholding over a two-dimensional decision region for fraud detection 

      C-Rella, Jorge; Cao, Ricardo; Vilar, Juan M. (Elsevier B.V., 2024-02)
      [Absctract]: Credit fraud poses a challenging task in terms of detection. It can result in significant losses depending on the amount, so a cost-sensitive perspective needs to be taken. Classical approaches focus on ...