Han Sheng Sun

Global Risk Management Network, LLC

Cornell Business and Technology Park

Ithaca, NY 14852-4892

United States

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Scholarly Papers (1)

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Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default

Journal of Credit Risk, Forthcoming
Number of pages: 27 Posted: 11 Aug 2016
Han Sheng Sun and Zi Jin
Global Risk Management Network, LLC and Wells Fargo Bank
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Abstract:

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ensemble learning methods, loss given default, stochastic gradient boosting, random forest, partial least squares algorithm, discriminatory power