Tobback, Ellen; Martens, David; Gestel, Tony Van; … - In: Journal of the Operational Research Society 65 (2014) 3, pp. 376-392
On the basis of two data sets containing Loss Given Default (LGD) observations of home equity and corporate loans, we consider non-linear and non-parametric techniques to model and forecast LGD. These techniques include non-linear Support Vector Regression (SVR), a regression tree, a transformed...