Categories
Data Science Finance Machine Learning R

Quantitative Modeling (Finance)

Business Problem

Build a simple model to analyze how much charge-offs can we expect at any level of portfolio loan delinquency (time independent)

Regression Models Analyzed (in R)

  1. Linear Regression
  2. Non-Linear Regression
  3. Support Vector Machine
  4. K-Nearest Neighbor (KNN)
  5. Classification and Regression Tree (CART)
  6. Random Forest

Results

RMSE Comparison