Search Results - subject:"Loss-Given-Default"

Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability

Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015056485

Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability

Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015056829

Application of the kNN-Based method and survival approach in estimating loss given default for unresolved cases

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł; … - In: Risks : open access journal 11 (2023) 2, pp. 1-14

A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital …

Persistent link: https://www.econbiz.de/10014245738

Exploring industry-distress effects on loan recovery : a double machine learning approach for quantiles

Chuang, Hui-Ching; Chen, Jau-er - In: Econometrics : open access journal 11 (2023) 1, pp. 1-20

given default during a downturn that the Basel Capital Accord requires. … slightly increases the recovery rates in the lower and the upper tails. The UQR provide quantitative measurements to the loss …

Persistent link: https://www.econbiz.de/10014281493

Insights into credit loss rates : a global database

Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023

Persistent link: https://www.econbiz.de/10014284871

Is the regulatory downturn LGD adequate? : performance analysis and alternative methods

Hartmann-Wendels, Thomas; Imanto, Christopher Paulus - In: Journal of the Operational Research Society 74 (2023) 3, pp. 736-747

Persistent link: https://www.econbiz.de/10014332036

Statistical and machine learning for credit and market risk management

Nagl, Maximilian - 2022

Persistent link: https://www.econbiz.de/10012880193

Loss given default in SME leasing

Kaposty, Florian; Klein, Philipp; Löderbusch, Matthias; … - In: Review of managerial science : RMS 16 (2022) 5, pp. 1561-1597

Persistent link: https://www.econbiz.de/10013457777

Using the Bayesian sampling method to estimate corporate loss given default distribution

Zhang, Xiaofei; Zhao, Xinlei - In: Journal of empirical finance 79 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015179516

Accounting-based expected loss given default and debt contract design

Amiram, Dan; Owens, Edward L. - In: Review of accounting studies 29 (2024) 3, pp. 2437-2467

Persistent link: https://www.econbiz.de/10015133785

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