Loss functions for loss given default model comparison

DOI10.1016/J.EJOR.2018.01.020zbMATH Open1403.91363OpenAlexW2782788926MaRDI QIDQ1754331FDOQ1754331

Jérémy Leymarie, Christophe Hurlin, 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)

Cites Work

• The Model Confidence Set
• Downturn loss given default: mixture distribution estimation
• Support vector regression for loss given default modelling
• Fuzzy decision fusion approach for loss-given-default modeling
• Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses*

Cited In (4)

• 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

   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 👍 👎
• Title not available (Why is that?) 👍 👎

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)