The credit risk measure, Expected Loss (EL) is defined as the product of the three risk parameters: probability of default (PD), loss given default (LGD) and exposure at default (EAD). EL is central to risk management, profit estimation, calculating regulatory capital requirements and the...

Based on a rich data set of recoveries donated by a debt collection business, recovery rates fornon-performing loans taken from a single European country are modelled using linear regression,linear regression with Lasso, beta regression and inflated beta regression. We also propose atwo-stage...

Based on a rich dataset of recoveries donated by a debt collection business, recovery rates for non-performing loans taken from a single European country are modelled using linear regression, linear regression with Lasso, beta regression and inflated beta regression. We also propose a two-stage...