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  • Search: subject:"loss-given default forecasts"
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Subject
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Actuarial mathematics 1 Basel Accord 1 Basler Akkord 1 Credibility 1 Credit risk 1 Forecasting model 1 Glaubwürdigkeit 1 Kreditrisiko 1 Linear regression 1 Loss Given Default forecasts 1 Mixture distribution 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Recovery rate 1 Risikomanagement 1 Risikomaß 1 Risikomodell 1 Risk management 1 Risk measure 1 Risk model 1 Survival analysis 1 Versicherungsmathematik 1 actuarial techniques for finance 1 basel 2 1 credibility theory 1 credit risk modeling 1 loss-given default forecasts 1 quantitative finance 1 rating model 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Bonini, Stefano 1 Caivano, Giuliana 1 Thomas, Lyn C. 1 Zhang, Jie 1
Published in...
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International Journal of Forecasting 1 The European journal of finance 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Estimating loss-given default through advanced credibility theory
Bonini, Stefano; Caivano, Giuliana - In: The European journal of finance 22 (2016) 13/15, pp. 1351-1362
Persistent link: https://www.econbiz.de/10011715432
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Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD
Zhang, Jie; Thomas, Lyn C. - In: International Journal of Forecasting 28 (2012) 1, pp. 204-215
Estimating the recovery rate and recovery amount has become important in consumer credit due to the new Basel Accord regulation and the increase in the number of defaulters as a result of the recession. We compare linear regression and survival analysis models for modelling recovery rates and...
Persistent link: https://www.econbiz.de/10010796135
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