Loss rate forecasting framework based on macroeconomic changes: Application to US credit card industry
作者：
Highlights：
• A new loss forecasting expert system for credit card industry is developed.
• Macroeconomic indicators from all aspects of the economy are used.
• Machine learning models are used as the basis for building the expert system.
• Loss rate from 1985–2019 from top 100 banks in the US is used.
• Results show the model can accurately predict future values of the loss rate.
摘要
•A new loss forecasting expert system for credit card industry is developed.•Macroeconomic indicators from all aspects of the economy are used.•Machine learning models are used as the basis for building the expert system.•Loss rate from 1985–2019 from top 100 banks in the US is used.•Results show the model can accurately predict future values of the loss rate.
论文关键词：Expert system,Time series forecasting,Loss forecasting,Macroeconomic indicators,Financial industry
论文评审过程：Received 6 June 2020, Revised 16 July 2020, Accepted 31 August 2020, Available online 10 September 2020, Version of Record 12 September 2020.
论文官网地址：https://doi.org/10.1016/j.eswa.2020.113954
