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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
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A logistic regression point of view toward loss given default distribution estimation
Hwang, Ruey-Ching; Chu, Chih-Kang - In: Quantitative finance 18 (2018) 3, pp. 419-435
Persistent link: https://www.econbiz.de/10011906390
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Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality
Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172
Persistent link: https://www.econbiz.de/10012547106
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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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Loss given default decomposition using mixture distributions of in-default events
Starosta, Wojciech - In: European journal of operational research : EJOR 292 (2021) 3, pp. 1187-1199
Persistent link: https://www.econbiz.de/10012502433
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A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
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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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Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability
Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10015056829
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Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability
Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10015056485
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Predicting loss given default in leasing : a closer look at models and variable selection
Kaposty, Florian; Kriebel, Johannes Maximilian; … - In: International journal of forecasting 36 (2020) 2, pp. 248-266
Persistent link: https://www.econbiz.de/10012414715