Credit line exposure at default modelling using Bayesian mixed effect quantile regression

DOI10.1111/RSSA.12855MaRDI QIDQ7001768zbMATH OpenFDO

Authors Jennifer Betz, Maximilian Nagl, Daniel Rösch

Publication date 4 April 2025

Published in Journal of the Royal Statistical Society. Series A. Statistics in Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://epub.uni-regensburg.de/52437/1/Royal%20Stats%20Society%20Series%20A%20-%202022%20-%20Betz%20-%20Credit%20line%20exposure%20at%20default%20modelling%20using%20Bayesian%20mixed%20effect%20quantile.pdf

zbMATH Keywords

quantile regressionrandom effectscredit riskexposure at defaultglobal credit datacredit conversion factor

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites work

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