A zero-adjusted gamma model for mortgage loan loss given default
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- Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
- Buchholz, Matthias & Holst, Gesa & Musshoff, Oliver, 2015. "Water and irrigation policy impact assessment using business simulation games: Evidence from northern Germany," DARE Discussion Papers 1505, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
- Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2015. "Support vector regression for loss given default modelling," European Journal of Operational Research, Elsevier, vol. 240(2), pages 528-538.
- repec:eee:ejores:v:263:y:2017:i:2:p:679-689 is not listed on IDEAS
- repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500236 is not listed on IDEAS
- Agata M. Lozinskaia & Evgeniy M. Ozhegov & Alexander M. Karminsky, 2016. "Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages," HSE Working papers WP BRP 55/FE/2016, National Research University Higher School of Economics.
- Peter-Hendrik Ingermann & Frederik Hesse & Christian Bélorgey & Andreas Pfingsten, 2016. "The recovery rate for retail and commercial customers in Germany: a look at collateral and its adjusted market values," Business Research, Springer;German Academic Association for Business Research, vol. 9(2), pages 179-228, August.
- Tong, Edward N.C. & Mues, Christophe & Brown, Iain & Thomas, Lyn C., 2016. "Exposure at default models with and without the credit conversion factor," European Journal of Operational Research, Elsevier, vol. 252(3), pages 910-920.
More about this item
KeywordsRegression; Finance; Credit risk modelling; Mixture models; LGD; Basel II;
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