Despite growing interest in the use of complex models, such as machine learning (ML) models, for credit underwriting, ML models are difficult to interpret, and it is possible for them to learn ...
Pantelis Samartsidis, Claudia R. Eickhoff, Simon B. Eickhoff, Tor D. Wager, Lisa Feldman Barrett, Shir Atzil, Timothy D. Johnson, Thomas E. Nichols Journal of the ...
We propose an affine extension of the linear Gaussian term structure model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrixes.
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