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Meta-learning approaches for recovery rate prediction

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  • Gambetti, Paolo
  • Roccazzella, Francesco
  • Vrins, Frédéric

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  • Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
  • Handle: RePEc:ajf:louvlf:2020007
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    References listed on IDEAS

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    3. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
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    10. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2020. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Discussion Papers LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
    11. Loterman, Gert & Brown, Iain & Martens, David & Mues, Christophe & Baesens, Bart, 2012. "Benchmarking regression algorithms for loss given default modeling," International Journal of Forecasting, Elsevier, vol. 28(1), pages 161-170.
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    17. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
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    23. Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J., 2018. "Improving corporate bond recovery rate prediction using multi-factor support vector regressions," European Journal of Operational Research, Elsevier, vol. 271(2), pages 664-675.
    24. Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen, 2014. "Loss given default for leasing: Parametric and nonparametric estimations," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 364-375.
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    28. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
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    Keywords

    machine learning ; forecasts combination ; loss given default ; credit risk ; model risk;
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