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An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Cheng, Dan; Cirillo, Pasquale - In: Risks : open access journal 7 (2019) 3, pp. 76
We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...
Persistent link: https://www.econbiz.de/10012127587
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Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22
In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting … uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be … emphasized in each case. We build PD models using a long history of large corporate firms sourced from Moody's, with a large …
Persistent link: https://www.econbiz.de/10012698321
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Forecasting loss given default of bank loans with multi-stage model
Tanoue, Yuta; Kawada, Akihiro; Yamashita, Satoshi - In: International journal of forecasting 33 (2017) 2, pp. 513-522
Persistent link: https://www.econbiz.de/10011922923
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A zero-adjusted gamma model for mortgage loan loss given default
Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562
Persistent link: https://www.econbiz.de/10010212473
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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Forecast combination approach in the loss given default estimation
Starosta, Wojciech - In: Applied economics letters 28 (2021) 21, pp. 1813-1817
Persistent link: https://www.econbiz.de/10012697676
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Loss given default : estimating by the conditional minimum value
Ammari, Mustapha; Lakhnati, Ghizlane - In: International journal of economics and financial issues … 7 (2017) 3, pp. 779-785
Persistent link: https://www.econbiz.de/10011823132
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067