Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
