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Podcast: The hidden math behin

Podcast

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The conversation covers why traditional machine learning models are missing critical components for

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The evolution of goals in AI a

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Forced evolution has been proposed as a possible path to developing artificial general intelligence.

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An Age–Period–Cohort Frame

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The greatest source of failure in portfolio analytics is not individual models that perform poorly,

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Stabilizing machine learning m

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Machine learning models have been used extensively for credit scoring, but the architectures employ

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Classical and quantum computin

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Classical and quantum computing methods for estimating loan-level risk distributions

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Effective Generative AI Model

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Effective Generative AI Model Risk Management

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A Theory of Borrowers

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Credit Risk, Adverse Selection, Age-Period-Cohort Models

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Journal of the Operational Res

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The new accounting standards of CECL for the US and IFRS 9 elsewhere require predictions of lifetim

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Scoring AI‐generated policy

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Scoring AI‐generated policy recommendations with Risk‐Adjusted Gain in Net Present Happiness

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Macroeconomic Adverse Selectio

All Machine Learning

Macroeconomic Adverse Selection in Machine Learning Models of Credit Risk

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A survey of machine learning i

All Machine Learning

Machine learning algorithms have come to dominate several industries. After decades of resistance

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Current expected credit loss p

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Current expected credit loss procyclicality: it depends on the model

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Instabilities Using Cox Propor

All Stress Testing

When the underlying system or process that is being observed is based upon observations versus age,

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When Big Data Isn’t Enough:

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n a world where big data is everywhere, no one has big data relative to the economic cycle. Data vol

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Consumer risk appetite, the cr

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In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and

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CECL ASSESSING THE ALTERNATIVE

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This study evaluates various models for implementing the Current Expected Credit Loss (CECL) method,

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Creating Unbiased Machine Lear

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Unintended bias against protected groups has become a key obstacle to the widespread adoption of mac

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Stress Testing for Pandemics

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Given the unfortunate global headlines about coronavirus, lenders are starting to ask about stress t

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Normalizing Pandemic Data for

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The COVID-19 pandemic created abnormal credit risk conditions that did not align well with pre-2020

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Solving the Long-Range Forecas

All Machine Learning

In a world where big data is everywhere, no one has big data relative to the economic cycle. Data v

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