Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality
Ruey-Ching Hwang, Chih-Kang Chu, Kaizhi Yu
| Year of publication: |
2021
|
|---|---|
| Authors: | Hwang, Ruey-Ching ; Chu, Chih-Kang ; Yu, Kaizhi |
| Subject: | Conditional distribution | Expectation-maximization algorithm | Logistic regression | Loss given default | Right-tailed censored beta-mixture regression | Zero-inflated model | Regressionsanalyse | Regression analysis | Kreditrisiko | Credit risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Prognoseverfahren | Forecasting model | Insolvenz | Insolvency |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10693-020-00333-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012547106