TOBBACK, Ellen; MARTENS, David; VAN GESTEL, Tony; … - Faculteit Toegepaste Economische Wetenschappen, … - 2012
Based on two datasets containing Loss Given Default (LGD) observations of home equity and corporate loans, we consider non-linear and non-parametric techniques to model and forecast LGD. These techniques include non-linear Support Vector Regression (SVR), a regression tree and a two-stage model...