Hartmann-Wendels, Thomas; Miller, Patrick; Töws, Eugen - In: Journal of Banking & Finance 40 (2014) C, pp. 364-375
This study employs a dataset from three German leasing companies with 14,322 defaulted leasing contracts to analyze different approaches to estimating the loss given default (LGD). Using the historical average LGD and simple OLS-regression as benchmarks, we compare hybrid finite mixture models...