Bellotti, Tony; Crook, Jonathan - In: International Journal of Forecasting 28 (2012) 1, pp. 171-182
Based on UK data for major retail credit cards, we build several models of Loss Given Default based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic variables perform best for...