A new mixture model for the estimation of credit card exposure at default
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Publication:320980
DOI10.1016/j.ejor.2015.10.001zbMath1346.62108OpenAlexW1903906526MaRDI QIDQ320980
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://www.pure.ed.ac.uk/ws/files/22189194/new_mixture_pdf.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Related Items (5)
Exposure at default models with and without the credit conversion factor ⋮ A transformer-based model for default prediction in mid-cap corporate markets ⋮ Modelling credit card exposure at default using vine copula quantile regression ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ A new mixture cure model under competing risks to score online consumer loans
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