Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses*

DOI10.1093/ROF/RFW028zbMath1402.91708OpenAlexW2410388316MaRDI QIDQ4555648

Edward I. Altman, Egon A. Kalotay

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfw028

zbMATH Keywords

credit riskmixture modelrecoveryloss given defaultloss forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (3)

Explainable models of credit losses ⋮ Loss functions for loss given default model comparison ⋮ Intertemporal defaulted bond recoveries prediction via machine learning

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