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SSRNRisk, Credit & Banking

Spatio-Temporal Machine Learning for Mortgage Credit Risk

A new machine learning model for credit risk combines tree-boosting with a latent spatiotemporal Gaussian process model, offering more accurate predictions of default probabilities and loan portfolio losses.

Featured in No. 69 on 9 Oct 2024 · 6 days after release

Released
3 Oct 2024
First featured
No. 69 · 9 Oct 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4975440

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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