Journal of the Operational Research Society, Volume 73, Issue 1 (2022)

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Journal of the Operational Research Society, Volume 73, Issue 1 (2022)

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Special Issue on Credit Risk Modelling

Editorial

Editorial
Editorial
Jonathan Crook, Tony Bellotti, Christophe Mues & Galina Andreeva
Pages: 1-4
Published online: 05 Feb 2022
First Page PreviewforEditorial | Full Text | References | PDF (328.6 KB) | EPUB
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Free Access

Original Articles

Article
On maximum likelihood estimation of competing risks using the cause-specific semi-parametric Cox model with time-varying covariates – An application to credit risk
Mark Thackham & Jun Ma
Pages: 5-14
Published online: 04 Aug 2020
AbstractforOn maximum likelihood estimation of competing risks using the cause-specific semi-parametric Cox model with time-varying covariates – An application to credit risk | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
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Article
Random survival forest for competing credit risks
Halina Frydman & Anna Matuszyk
Pages: 15-25
Published online: 22 Jun 2020
AbstractforRandom survival forest for competing credit risks | Full Text | References | PDF (1.1 MB) | EPUB
  • 615 Views
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Article
Deep learning for survival and competing risk modelling
Gabriel Blumenstock, Stefan Lessmann & Hsin-Vonn Seow
Pages: 26-38
Published online: 06 Nov 2020
AbstractforDeep learning for survival and competing risk modelling | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 2078 Views
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Article
Gradient boosting survival tree with applications in credit scoring
Miaojun Bai, Yan Zheng & Yun Shen
Pages: 39-55
Published online: 30 Jun 2021
AbstractforGradient boosting survival tree with applications in credit scoring | Full Text | References | PDF (2.2 MB) | EPUB
  • 572 Views
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Article
Multihorizon discrete time survival models
Joseph L. Breeden & Jonathan Crook
Pages: 56-69
Published online: 07 Aug 2020
AbstractforMultihorizon discrete time survival models | Full Text | References | PDF (2.5 MB) | EPUB
  • 262 Views
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Article
Transparency, auditability, and explainability of machine learning models in credit scoring
Michael Bücker, Gero Szepannek, Alicja Gosiewska & Przemyslaw Biecek
Pages: 70-90
Published online: 21 Jun 2021
AbstractforTransparency, auditability, and explainability of machine learning models in credit scoring | Full Text | References | PDF (3.6 MB) | EPUB
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Article
Statistical stability indices for LIME: Obtaining reliable explanations for machine learning models
Giorgio Visani, Enrico Bagli, Federico Chesani, Alessandro Poluzzi & Davide Capuzzo
Pages: 91-101
Published online: 01 Feb 2021
AbstractforStatistical stability indices for LIME: Obtaining reliable explanations for machine learning models | Full Text | References | PDF (1.6 MB) | EPUB
  • 1538 Views
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Article
Textual analysis and corporate bankruptcy: A financial dictionary-based sentiment approach
Ba-Hung Nguyen & Van-Nam Huynh
Pages: 102-121
Published online: 03 Aug 2020
AbstractforTextual analysis and corporate bankruptcy: A financial dictionary-based sentiment approach | Full Text | References | PDF (4.7 MB) | EPUB | Supplemental
  • 1515 Views
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Article
Credit scoring model based on a novel group feature selection method: The case of Chinese small-sized manufacturing enterprises
Zhipeng Zhang, Guotai Chi, Sisira Colombage & Ying Zhou
Pages: 122-138
Published online: 13 Feb 2021
AbstractforCredit scoring model based on a novel group feature selection method: The case of Chinese small-sized manufacturing enterprises | Full Text | References | PDF (1.8 MB) | EPUB
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Article
Default count-based network models for credit contagion
Arianna Agosto & Daniel Felix Ahelegbey
Pages: 139-152
Published online: 22 Jun 2020
AbstractforDefault count-based network models for credit contagion | Full Text | References | PDF (3.2 MB) | EPUB
  • 244 Views
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Article
Generative adversarial networks for data augmentation and transfer in credit card fraud detection
Alex Langevin, Tyler Cody, Stephen Adams & Peter Beling
Pages: 153-180
Published online: 01 Mar 2021
AbstractforGenerative adversarial networks for data augmentation and transfer in credit card fraud detection | Full Text | References | PDF (5.8 MB) | EPUB
  • 768 Views
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Article
Credit scoring by one-class classification driven dynamical ensemble learning
Hao Li, Hao Qiu, Shu Sun, Jun Chang & Wenting Tu
Pages: 181-190
Published online: 15 Jul 2021
AbstractforCredit scoring by one-class classification driven dynamical ensemble learning | Full Text | References | PDF (1.2 MB) | EPUB
  • 473 Views
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Article
Machine learning methods for short-term probability of default: A comparison of classification, regression and ranking methods
Lize Coenen, Wouter Verbeke & Tias Guns
Pages: 191-206
Published online: 24 Feb 2021
AbstractforMachine learning methods for short-term probability of default: A comparison of classification, regression and ranking methods | Full Text | References | PDF (2.2 MB) | EPUB
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