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High-Dimensional Sparse Financial Networks through a Regularised Regression Model
(2019-02-12)
"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ...
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...