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.
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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.