A zero-adjusted gamma model for mortgage loan loss given default
Year of publication: |
2013
|
---|---|
Authors: | Tong, Edward N.C. ; Mues, Christophe ; Thomas, Lyn |
Published in: |
International Journal of Forecasting. - Elsevier, ISSN 0169-2070. - Vol. 29.2013, 4, p. 548-562
|
Publisher: |
Elsevier |
Subject: | Regression | Finance | Credit risk modelling | Mixture models | LGD | Basel II |
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A zero-adjusted gamma model for mortgage loan loss given default
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