A logistic regression point of view toward loss given default distribution estimation
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Publication:4554431
DOI10.1080/14697688.2017.1310393zbMath1406.62117OpenAlexW2737373287MaRDI QIDQ4554431
Chih-Kang Chu, Ruey-Ching Hwang
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1310393
logistic regressionconditional distributionloss given defaultunconditional distributionsample density estimation
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12)
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