国际货币基金组织：2024实时监测民营企业违约风险：一个信号知识转移学习模型报告（英文版）

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to construct a probability of default (PD) function. This function integrates high-frequency, market-based, aggregate distress signals with low-frequency, firm-level financial ratios, and macroeconomic indicators. When provided with private firms' financial ratios, the model, which we name signal-kno