Downturn LGD modeling using quantile regression
Year of publication: |
June 2017
|
---|---|
Authors: | Krüger, Steffen ; Rösch, Daniel |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 79.2017, p. 42-56
|
Subject: | Loss given default | Downturn | Quantile regression | Recovery | Validation | Regressionsanalyse | Regression analysis | Kreditrisiko | Credit risk | Konjunktur | Business cycle | Basler Akkord | Basel Accord | Kreditgeschäft | Bank lending |
-
Krüger, Steffen, (2017)
-
Local logit regression for loan recovery rate
Sopitpongstorn, Nithi, (2021)
-
Modelling LGD for unsecured retail loans using Bayesian methods
Bijak, Katarzyna, (2015)
- More ...
-
Downturn LGD Modeling Using Quantile Regression
Krüger, Steffen, (2018)
-
Macroeconomic Effects and Frailties in the Resolution of Non-Performing Loans
Betz, Jennifer, (2018)
-
The impact of loan loss provisioning on bank capital requirements
Krüger, Steffen, (2018)
- More ...