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A logistic regression point of view toward loss given default distribution estimation
Hwang, Ruey-Ching; Chu, Chih-Kang - In: Quantitative finance 18 (2018) 3, pp. 419-435
Persistent link: https://www.econbiz.de/10011906390
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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
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Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality
Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172
Persistent link: https://www.econbiz.de/10012547106
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Predicting LGD distributions with mixed continuous and discrete ordinal outcomes
Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: International journal of forecasting 36 (2020) 3, pp. 1003-1022
Persistent link: https://www.econbiz.de/10012497162