arXiv:2601. 20533v2 Announce Type: replace-cross Abstract: Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk.
arXiv:2607. 19526v1 Announce Type: new Abstract: "Stop Chasing the C-index when Evaluating Survival Analysis Models" (ICML 2026, Spotlight) argued normatively, on synthetic data, that evaluating survival models by discrimination alone, i.
The paper introduces DTD‑VAE, a Variational Autoencoder that disentangles temporal dependencies to better predict credit risk. It uses an autoregressive feature inference module to capture temporal patterns among latent variables and an element‑wise gating mechanism in the generative module to assign independent weights to each latent dimension, especially those relevant to credit risk. Experiments on six real‑world datasets show the model outperforms existing methods, improving ROC‑AUC by 3.2%–4.86% and Accuracy Ratio by 6.41%–9.71%.
arXiv:2606. 13880v1 Announce Type: new Abstract: Accurate estimation of long-term care transition probabilities is central to disability insurance pricing, reserving, and solvency assessment.
The paper presents a locked, multi‑signal audit protocol designed to detect supervision drift in credit‑risk models that use proxy labels. It comprises five layers—transfer performance, an oracle‑gap probe, a calibration diagnostic, feature‑label stability, and a synthetic positive control—each with predefined thresholds and decision rules. Applied to a public LendingClub dataset, the protocol shows stable ranking, small oracle gaps, and identifies a prevalence and probability‑scale mismatch that recalibration largely mitigates, though its root cause remains unclear.
arXiv:2606. 08140v1 Announce Type: new Abstract: Supply Chain Finance (SCF) and LendTech platforms need credit scoring systems that respond to evolving transaction behavior, repayment delays, and active exposure.
arXiv:2606. 03184v1 Announce Type: cross Abstract: Financial forecasting is difficult due to low signal-to-noise ratios, latent factors, heavy tails, regime shifts, and jumps.
Random Hazard Forests (RHF) is a survival tree ensemble that models how a patient's hazard changes over continuous time as new measurements arrive. RHF directly estimates a nonparametric hazard likelihood for predictable covariate processes, using an efficient working model to guide tree construction and then estimating flexible time‑varying hazards at each terminal node. By routing each tree based on the covariate state immediately before each time point, RHF can handle irregular and asynchronous covariate updates, and averaging across trees yields a pathwise hazard estimate that accurately captures changing risk in simulations and an intensive‑care application.
Credit risk models increasingly need to combine predictive accuracy with transparent explanations and auditable fairness constraints. Logistic regression remains attractive because its coefficients ar...
arXiv:2608.24582v1 Announce Type: cross Abstract: Credit risk models increasingly need to combine predictive accuracy with transparent explanations and auditable fairness constraints. Logistic regres...
FINESSE is an agent‑based simulation framework that generates synthetic, structured datasets of multiple interdependent financial event streams, such as transactions, payments, account status changes, and policy interventions. Each stream has its own action space, schema, and variable types, and the streams are coupled through agents’ evolving latent states, allowing temporally rich interactions. The accompanying FINESSE‑Bench dataset supports four tasks—balance forecasting, transaction fraud detection, missed payment prediction, and next event prediction—and baseline results are provided using various time‑series and event‑sequence methods.
arXiv:2604. 08870v3 Announce Type: replace-cross Abstract: Student dropout is a persistent concern in Learning Analytics, yet comparative studies frequently evaluate predictive models under heterogeneous protocols, prioritizing discrimination over temporal interpretability and calibration.
arXiv:2603.04275v2 Announce Type: replace-cross Abstract: We introduce inference methods for score decompositions, which partition scoring functions for predictive assessment into three interpretable...