Forecast combination approach in the loss given default estimation
Year of publication: |
2021
|
---|---|
Authors: | Starosta, Wojciech |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 21, p. 1813-1817
|
Subject: | forecast combination | IFRS 9 | loan loss provisioning | Loss given default | model averaging | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | IFRS | Basler Akkord | Basel Accord | Verlust | Loss | Kreditgeschäft | Bank lending |
-
Credit risk forecasting modelling and projections under IFRS 9
Montesi, Giuseppe, (2018)
-
The impact of loan loss provisioning on bank capital requirements
Krüger, Steffen, (2018)
-
CECL : timely loan loss provisioning and bank regulation
Mahieux, Lucas, (2023)
- More ...
-
Loss given default decomposition using mixture distributions of in-default events
Starosta, Wojciech, (2021)
-
Modelling recovery rate for incomplete defaults using time varying predictors
Starosta, Wojciech, (2020)
-
Starosta, Wojciech, (2021)
- More ...