Quantile regression for modelling distributions of profit and loss

DOI10.1016/J.EJOR.2006.08.063zbMATH Open1138.91507OpenAlexW1998200917MaRDI QIDQ2643979FDOQ2643979

Joe Whittaker, Mark Somers

Publication date: 27 August 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.08.063

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zbMATH Keywords

kernel regressionregressioncredit scoringBasel IIloss given defaulthaircut distributionprofit assessmentrevenue modelling

Mathematics Subject Classification ID

Cites Work

• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Regression Quantiles
• Quantile regression.
• Title not available (Why is that?)
• Local Linear Quantile Regression
• The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database
• Credit Scoring and Its Applications

Cited In (11)

• Systematic effects among loss given defaults and their implications on downturn estimation
• Predicting recovery rates using logistic quantile regression with bounded outcomes
• ``Time-to-profit scorecards for revolving credit
• Take it to the limit: innovative CVaR applications to extreme credit risk measurement
• Development and application of consumer credit scoring models using profit-based classification measures
• Modelling credit card exposure at default using vine copula quantile regression
• Quantile regression for robust bank efficiency score estimation
• Fairness in credit scoring: assessment, implementation and profit implications
• The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database
• Some properties of the maximum loss on loan portfolios
• Nonparametric quantile frontier estimation under shape restriction

Uses Software

• quantreg

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