We estimate the probability of delinquency and default for a sample of credit card loans using intensity models, via semi-parametric multiplicative hazard models with time-varying covariates. It is the first time these models, previously applied for the estimation of rating transitions, are used...

Loss given default modelling has become crucially important for banks due to the requirement that they comply with the Basel Accords and to their internal computations of economic capital. In this paper, support vector regression (SVR) techniques are applied to predict loss given default of...