Zhao, Xinlei Shelly; Zhang, Xiaofei - 2023
We use Markov chain Monte Carlo (MCMC) sampling to draw model coefficients to generate LGD distributions. We find that …, applying this Bayesian sampling approach on a simple model such as Tobit cannot capture the bi-modal LGD distributions … accurately. Finally, we argue that this Bayesian sampling approach to generate LGD distributions is better fit for the stress …