Loss given default decomposition using mixture distributions of in-default events

DOI10.1016/J.EJOR.2020.11.034zbMath1487.91149OpenAlexW3107724528MaRDI QIDQ2030491

Wojciech Starosta

Publication date: 7 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.11.034

zbMATH Keywords

risk managementrecovery rateloss given defaultprobability of cureprobability of write-off

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

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• Systematic effects among loss given defaults and their implications on downturn estimation
• Fuzzy decision fusion approach for loss-given-default modeling
• Predicting loss severities for residential mortgage loans: a three-step selection approach
• Comprehensible credit scoring models using rule extraction from support vector machines

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