Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
- Qi, Min & Zhao, Xinlei, 2011. "Comparison of modeling methods for Loss Given Default," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2842-2855, November.
- Bonfim, Diana, 2009.
"Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics,"
Journal of Banking & Finance,
Elsevier, vol. 33(2), pages 281-299, February.
- Diana Bonfim, 2007. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Diana Bonfim, 2007. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Working Papers w200707, Banco de Portugal, Economics and Research Department.
- Van Gestel, Tony & Martens, David & Baesens, Bart & Feremans, Daniel & Huysmans, Johan & Vanthienen, Jan, 2007. "Forecasting and analyzing insurance companies' ratings," International Journal of Forecasting, Elsevier, vol. 23(3), pages 513-529.
- Khieu, Hinh D. & Mullineaux, Donald J. & Yi, Ha-Chin, 2012. "The determinants of bank loan recovery rates," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 923-933.
- D Rösch & H Scheule, 2014. "Forecasting probabilities of default and loss rates given default in the presence of selection," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 393-407, March.
- Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 1-34, August.
- Martens, David & Baesens, Bart & Van Gestel, Tony & Vanthienen, Jan, 2007. "Comprehensible credit scoring models using rule extraction from support vector machines," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1466-1476, December.
- Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Jun).
- Yashkir, Olga & Yashkir, Yuriy, 2013. "Loss Given Default Modelling: Comparative Analysis," MPRA Paper 46147, University Library of Munich, Germany.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016.
"Default probability estimation via pair copula constructions,"
European Journal of Operational Research,
Elsevier, vol. 249(1), pages 298-311.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudio Manelli & Claudia Tarantola, 2013. "Default Probability Estimation via Pair Copula Constructions," DEM Working Papers Series 048, University of Pavia, Department of Economics and Management.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
- repec:eee:ejores:v:262:y:2017:i:2:p:780-791 is not listed on IDEAS
- repec:rfe:zbefri:v:37:y:2019:i:1:p:139-172 is not listed on IDEAS
- repec:eee:ejores:v:271:y:2018:i:3:p:1113-1144 is not listed on IDEAS
- Jonathan Crook & David Edelman, 2014. "Special issue credit risk modelling," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 321-322, March.
- repec:eee:ejores:v:268:y:2018:i:1:p:348-360 is not listed on IDEAS
- repec:eee:ejores:v:271:y:2018:i:2:p:664-675 is not listed on IDEAS
- repec:eee:ejores:v:263:y:2017:i:2:p:679-689 is not listed on IDEAS
- repec:eee:jbfina:v:89:y:2018:i:c:p:14-25 is not listed on IDEAS
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:jorsoc:v:65:y:2014:i:3:p:376-392. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Mallaigh Nolan). General contact details of provider: http://www.palgrave-journals.com/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.