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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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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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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
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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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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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Housing default : theory works and so does policy
Goodman, Allen C.; Smith, Brent C. - 2010
Persistent link: https://www.econbiz.de/10009157872
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Government policies, residential mortgage defaults, and the boom and bust cycle of housing prices
Ascheberg, Marius; Jarrow, Robert A.; Kraft, Holger; … - In: Essays on empirical asset pricing, dynamic asset …, (pp. 183-216). 2013
Persistent link: https://www.econbiz.de/10010412565