Loss functions for loss given default model comparison
From MaRDI portal
Publication:1754331
DOI10.1016/J.EJOR.2018.01.020zbMATH Open1403.91363OpenAlexW2782788926MaRDI QIDQ1754331FDOQ1754331
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
Recommendations
- Loss functions for loss estimation
- How to compare different loss functions and their risks
- Loss functions
- An investigation for loss functions widely used in machine learning
- Penalized loss functions for Bayesian model comparison
- LOSS FUNCTIONS AND DESCENT METHOD
- Loss functions used in the quality theory
- Estimation based on an appropriate choice of loss function
- Toward a unified approach to fitting loss models
- scientific article; zbMATH DE number 6500982
risk managementloss functioncredit risk capital requirementforecasts comparisonloss given default (LGD)
Cites Work
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
This page was built for publication: Loss functions for loss given default model comparison
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1754331)
