Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. The authors...

We introduce a new preference disaggregation modeling formulations for multiple criteria sorting with a set of additive value functions. The preference information supplied by the Decision Maker (DM) is composed of: (1) possibly imprecise assignment examples, (2) desired class cardinalities, and...

A tree-based algorithm for longitudinal regression analysis that aims to learn whether and how the effects of predictor variables depend on moderating variables is presented. The algorithm is based on multivariate generalized linear mixed models and it builds piecewise constant coefficient...

According to the Reserve Bank of Australia (2006) the increased supply of Commercial Mortgage-Backed Securities (CMBS), with a range of subordination, has broadened the investor base in real estate debt markets and reduced the commercial property sector’s dependence on bank financing The CMBS...