Loss functions for loss given default model comparison

DOI10.1016/j.ejor.2018.01.020zbMath1403.91363OpenAlexW2782788926MaRDI QIDQ1754331

Jérémy Leymarie, Christophe Hurlin, Antoine Patin

Publication date: 30 May 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.2018.01.020

zbMATH Keywords

loss functionrisk managementcredit risk capital requirementforecasts comparisonloss given default (LGD)

Mathematics Subject Classification ID

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 ⋮ Intertemporal defaulted bond recoveries prediction via machine learning ⋮ Machine learning for credit scoring: improving logistic regression with non-linear decision-tree effects

Cites Work

• The Model Confidence Set
• Fuzzy decision fusion approach for loss-given-default modeling
• Downturn loss given default: mixture distribution estimation
• Support vector regression for loss given default modelling
• Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses*

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