Quantile regression for modelling distributions of profit and loss

DOI10.1016/J.EJOR.2006.08.063MaRDI QIDQ2643979zbMATH OpenOpenAlexFDO

Authors Mark Somers, Joe Whittaker

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

zbMATH Keywords

kernel regressionregressioncredit scoringBasel IIloss given defaulthaircut distributionprofit assessmentrevenue modelling

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 700016 (Why is no real title available?)
• Credit Scoring and Its Applications
• Local Linear Quantile Regression
• Quantile regression.
• Regression Quantiles
• 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
• The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database

Cited in

(12)

• Integrative analysis of high-dimensional quantile regression with contrasted penalization
• 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
• Quantile regression for robust bank efficiency score estimation
• Fairness in credit scoring: assessment, implementation and profit implications
• Modelling credit card exposure at default using vine copula quantile regression
• 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

Describes a project that uses

Uses Software

• quantreg

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