Name of Quantlet: Hierarchical Loan forecasting : A study of End-to-End coherent models

Published in: Hierarchical Loan forecasting

Description: This study introduces time series from the private debt markets and thei r hierarchical structure. Methods for forecasting financial time series within a hierarchical structure are then explored, introducing models allowing end-to-end training for coherent predictions.

Keywords: Forecasting, Hierarchical Time Series, Loan Forecasting, Private Debt Markets, Hierarchical Reconciliation ,Artificial Intelligence

Author: Owen Chaffard, Ralf Korn and Wolfgang Karl Härdle

Submitted: 20.02.2025