A Financial Approach to Machine Learning with Applications to Credit Risk

Jun 21, 2013

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. Joint work with Sven Sandow; thanks to Bob Cangemi, Peter Chang and James Huang. . IntroductionMeasuring Probabilistic Model Performance from an investor's perspectiveBuilding Probabilistic Models for use by an investorThe Maximum Expected Utility Ultimate Recovery ModelConclusion. Introduction 2 Credit Modeling Problems.

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A Financial Approach to Machine Learning with Applications to Credit Risk

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