Downturn loss given default: mixture distribution estimation

DOI10.1016/j.ejor.2014.01.043zbMath1304.91247OpenAlexW1988981281MaRDI QIDQ2514828

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)

Related Items (5)

Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research ⋮ Systematic effects among loss given defaults and their implications on downturn estimation ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ Loss functions for loss given default model comparison ⋮ MMK for heterogeneous data: identifiability, estimation and application

Cites Work

• Unnamed Item
• Unnamed Item

This page was built for publication: Downturn loss given default: mixture distribution estimation