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Modelling LGD for unsecured retail loans using Bayesian methods
Bijak, Katarzyna; Thomas, Lyn C. - In: Journal of the Operational Research Society : OR 66 (2015) 2, pp. 342-352
Persistent link: https://www.econbiz.de/10010487508
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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
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Exposure at default models with and without the credit conversion factor
Tong, Edward N. C.; Mues, Christophe; Brown, Iain; … - In: European journal of operational research : EJOR 252 (2016) 3, pp. 910-920
Persistent link: https://www.econbiz.de/10011472989
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Choosing where to set the threshold between low- and high-risk patients : evaluating a classification tool within a simulation
Saville, Christina E.; Smith, Honora K.; Bijak, Katarzyna; … - In: Journal of the Operational Research Society 74 (2023) 5, pp. 1393-1405
Persistent link: https://www.econbiz.de/10014335010
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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
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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
Persistent link: https://www.econbiz.de/10009581995
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Return-Volatility Relationship : Insights from Linear and Non-Linear Quantile Regression
Allen, David E. - 2013
The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...
Persistent link: https://www.econbiz.de/10013083138