Downturn loss given default: mixture distribution estimation

DOI10.1016/J.EJOR.2014.01.043MaRDI QIDQ2514828zbMATH OpenOpenAlexFDO

Authors Raffaella Calabrese

Publication date 4 February 2015

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://repository.essex.ac.uk/11175/1/definitiveversion.pdf

zbMATH Keywords

downturn LGDEM algorithmmixed random variablemixture model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

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• Loss functions for loss given default model comparison
• MMK for heterogeneous data: identifiability, estimation and application
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• Sharp asymptotics for large portfolio losses under extreme risks
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• Credit line exposure at default modelling using Bayesian mixed effect quantile regression

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