Systematic effects among loss given defaults and their implications on downturn estimation

DOI10.1016/j.ejor.2018.05.059zbMath1403.91359OpenAlexW2806986051MaRDI QIDQ1653399

Ralf Kellner, Jennifer Betz, Daniel Rösch

Publication date: 3 August 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.05.059

zbMATH Keywords

random effectscredit riskrisk managementbank loans

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (4)

Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Loss given default decomposition using mixture distributions of in-default events

Uses Software

• JAGS

Cites Work

• Unnamed Item
• Fuzzy decision fusion approach for loss-given-default modeling
• Downturn loss given default: mixture distribution estimation
• Support vector regression for loss given default modelling
• Quantile regression for modelling distributions of profit and loss
• Bayes Factors
• Bayesian Analysis for the Social Sciences

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