Articles by Hansheng Sun
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
An effective credit rating method for corporate entities using machine learning
The authors propose a new method to design credit risk rating models for corporate entities using a meta-algorithm which exploits information embedded in expert-assigned credit ratings to rank customers.