Estimating bank loans loss given default by generalized additive models
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References listed on IDEAS
- Radovan Chalupka & Juraj Kopecsni, 2009.
"Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study,"
Czech Journal of Economics and Finance (Finance a uver),
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More about this item
Keywordsdownturn LGD; generalized additive model; Basel II;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
- NEP-BAN-2012-11-03 (Banking)
- NEP-CBA-2012-11-03 (Central Banking)
- NEP-ECM-2012-11-03 (Econometrics)
- NEP-MAC-2012-11-03 (Macroeconomics)
- NEP-RMG-2012-11-03 (Risk Management)
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