Modeling Portfolio Risk by Risk Discriminatory Trees and Random Forests
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References listed on IDEAS
- Lin, Yi & Jeon, Yongho, 2006. "Random Forests and Adaptive Nearest Neighbors," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 578-590, June.
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KeywordsExposure at default; probability of default; loss given default; discriminatory tree; CART tree; random forest; bagging; KS statistic; intra-cluster correlation; penalty function; risk concordance;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-07-21 (All new papers)
- NEP-FOR-2014-07-21 (Forecasting)
- NEP-RMG-2014-07-21 (Risk Management)
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