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

EM algorithmmixture modeldownturn LGDmixed random variable

Mathematics Subject Classification ID

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

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(6)

• MMK for heterogeneous data: identifiability, estimation and application
• Systematic effects among loss given defaults and their implications on downturn estimation
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• Sharp asymptotics for large portfolio losses under extreme risks
• Dependent default and recovery: Markov chain Monte Carlo study of downturn loss given default credit risk model
• Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research

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