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Homeen-gbModeling loss given default regressionsThe authors investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework.
https://www.risk.net/journal-of-risk/7721041/modeling-loss-given-default-regressions
https://www.risk.net/journal-of-risk/7721041/modeling-loss-given-default-regressions
Wed, 09 Dec 2020 14:35:47 +0000 Further investigation of parametric loss given default modelingThe authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
https://www.risk.net/journal-of-credit-risk/2474214/further-investigation-of-parametric-loss-given-default-modeling
https://www.risk.net/journal-of-credit-risk/2474214/further-investigation-of-parametric-loss-given-default-modeling
Mon, 17 Oct 2016 09:00:00 +0100