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Separating the components of default risk : a derivative-based approach
Le, Anh - In: The quarterly journal of finance 5 (2015) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10010528333
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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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Loss given default estimations in emerging capital markets
Pomazanov, Mikhail - In: Risk assessment and financial regulation in emerging …, (pp. 145-175). 2021
This paper proposes an approach to decompose the RR/LGD model development process with two stages, specifically, for … the RR/LGD rating model, and to calibrate the model using a linear form that minimizes residual risk. The residual risk in …. This paper considers a simple residual risk model defined by one parameter. By developing an optimal RR/LGD model, it is …
Persistent link: https://www.econbiz.de/10012591699
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The loss given default of a low-default portfolio with weak contagion
Wei, Li; Yuan, Zhongyi - In: Insurance / Mathematics & economics 66 (2016), pp. 113-123
Persistent link: https://www.econbiz.de/10011442721
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Creditor recovery : the macroeconomic dependence of industry equilibrium
Mora, Nada - In: Journal of financial stability 18 (2015), pp. 172-186
Persistent link: https://www.econbiz.de/10011574143
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Loss given default in SME leasing
Kaposty, Florian; Klein, Philipp; Löderbusch, Matthias; … - In: Review of managerial science : RMS 16 (2022) 5, pp. 1561-1597
Persistent link: https://www.econbiz.de/10013457777
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Explainable models of credit losses
Bastos, João A.; Matos, Sara M. - In: European journal of operational research : EJOR 301 (2022) 1, pp. 386-394
Persistent link: https://www.econbiz.de/10013207383
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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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An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108