Random survival forests and Cox regression in loss given default estimation
Aneta Ptak-Chmielewska and Paweł Kopciuszewski
| Year of publication: |
2024
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|---|---|
| Authors: | Ptak-Chmielewska, Aneta ; Kopciuszewski, Paweł |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ZDB-ID 2446290-1. - Vol. 20.2024, 2, p. 1-20
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| Subject: | loss given default (LGD) | survival approach | Cox semiparametric regression | unresolved cases | random survival forest | Kreditrisiko | Credit risk | Regressionsanalyse | Regression analysis | Insolvenz | Insolvency | Schätzung | Estimation | Forstwirtschaft | Forestry | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Forstpolitik | Forest policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2024.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464781