Andy Yeh

Federal Reserve Banks - Federal Reserve Bank of San Francisco

United States

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An Algorithmic Model for Retail Credit Portfolio Segmentation

Journal of Risk Model Validation, Forthcoming
Number of pages: 23 Posted: 13 Mar 2013 Last Revised: 28 May 2013
Andy Yeh and Jose A. Lopez
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
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Abstract:

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Basel model development, Monte Carlo simulation, asymptotic single risk factor model, credit risk, segmentation, retail mortgage segmentation, k-means cluster analysis, risk capital management, asset correlation analysis