A logistic regression point of view toward loss given default distribution estimation

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

zbMATH Keywords

logistic regressionconditional distributionloss given defaultunconditional distributionsample density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12)

Cites Work

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• Beta Regression for Modelling Rates and Proportions
• Inflated beta distributions
• Approximation Theorems of Mathematical Statistics
• A regression point of view toward density estimation
• Predicting recovery rates using logistic quantile regression with bounded outcomes

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