“…In recent years, machine learning‐based models have shown remarkable success in forecasting. Due to their capacity to uncover embedded trends in financial data, machine learning models have also been widely used in various financial applications, such as asset pricing, bankruptcy prediction, high‐frequency trading, and inflation rate forecasting (Abdullah, 2021; Akyildirim et al, 2021; Cepni, Gupta, & Onay, 2022; Gu et al, 2021; Liu et al, 2022; Sulong et al, 2022; Tang et al, 2020; Uddin et al, 2021; Zhang et al, 2022). Following their success, in this paper, we exploit the powerful nonlinear modeling capacity of machine learning to improve the forecasting accuracy of NPLs.…”