Loss functions for loss given default model comparison

DOI10.1016/J.EJOR.2018.01.020MaRDI QIDQ1754331zbMATH OpenOpenAlexFDO

Authors Christophe Hurlin, Jérémy Leymarie, Antoine Patin

Publication date 30 May 2018

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

Full work available at URL https://doi.org/10.1016/j.ejor.2018.01.020

zbMATH Keywords

risk managementloss functioncredit risk capital requirementforecasts comparisonloss given default (LGD)

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• Downturn loss given default: mixture distribution estimation
• Fuzzy decision fusion approach for loss-given-default modeling
• Intertemporal forecasts of defaulted bond recoveries and portfolio losses
• Support vector regression for loss given default modelling
• The Model Confidence Set

Cited in

(9)

• Intertemporal forecasts of defaulted bond recoveries and portfolio losses
• Default weighted survival analysis to directly model loss given default
• Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method
• Intertemporal defaulted bond recoveries prediction via machine learning
• Machine learning for credit scoring: improving logistic regression with non-linear decision-tree effects
• Sharp asymptotics for large portfolio losses under extreme risks
• Loss given default decomposition using mixture distributions of in-default events
• Downturn loss given default: mixture distribution estimation
• Support vector regression for loss given default modelling

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