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Benchmarking regression algorithms for loss given default modeling

Loterman, Gert; Brown, Iain; Martens, David; Mues, … - In: International Journal of Forecasting 28 (2012) 1, pp. 161-170

The introduction of the Basel II Accord has had a huge impact on financial institutions, allowing them to build credit risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at default). Until recently, credit risk research has focused...

Persistent link: https://www.econbiz.de/10010796146

Benchmarking regression algorithms for loss given default modeling

Loterman, Gert; Brown, Iain; Martens, David; Mues, … - In: International journal of forecasting 28 (2012) 1, pp. 161-170

Persistent link: https://www.econbiz.de/10009581995

Decision diagrams in machine learning : an empirical study on real-life credit-risk data

Mues, Christophe; Baesens, Bart; Files, Craig M.; … - 2004

Persistent link: https://www.econbiz.de/10002035104

Forecasting Loss Given Default models : impact of account characteristics and macroeconomic state

Tobback, Ellen; Martens, David; Van Gestel, Tony; … - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 376-392

Persistent link: https://www.econbiz.de/10010251701

Forecasting loss given default models : impact of account characteristics and the macroeconomic state

Tobback, Ellen; Martens, David; Van Gestel, Tony; … - 2012

Persistent link: https://www.econbiz.de/10009669592

Modelling credit card exposure at default using vine copula quantile regression

Wattanawongwan, Suttisak; Mues, Christophe; Okhrati, Ramin - In: European journal of operational research : EJOR 311 (2023) 1, pp. 387-399

Persistent link: https://www.econbiz.de/10014336533

Mixture cure models in credit scoring : if and when borrowers default

Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: European journal of operational research : EJOR 218 (2012) 1, pp. 132-139

Persistent link: https://www.econbiz.de/10009501056

The economy and loss given default : evidence from two UK retail lending data sets

Leow, Mindy; Mues, Christophe; Thomas, Lyn C. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 363-375

Persistent link: https://www.econbiz.de/10010251704

A zero-adjusted gamma model for mortgage loan loss given default

Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562

Persistent link: https://www.econbiz.de/10010212473

Dynamic affordability assessment : predicting an applicant's ability to repay over the life of the loan

Bijak, Katarzyna; Thomas, Lyn C.; Mues, Christophe - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10010373359