For banks, credit lines play an important role exposing both liquidity and credit risk. In the advanced internal ratings‐based approach, banks are obliged to use their own estimates of exposure at default using credit conversion factors. For volatile segments, additional downturn estimates are...

Comparative studies investigating the estimation accuracy of statistical methods often arrive at different conclusions. Therefore, it remains unclear which method is best suited for a particular estimation task. While this problem exists in many areas of predictive analytics, it has particular...

The cure of a defaulted company has important implications for the estimation of the loss given default. In this study, we estimate the probability of a defaulted company being cured using data on a large international sample of defaulted companies. More specifically, we examine whether historic...