Exposure at default models with and without the credit conversion factor

DOI10.1016/J.EJOR.2016.01.054MaRDI QIDQ323002zbMATHOpenAlexFDO

Authors Edward N. C. Tong, Christophe Mues, Iain Brown, Lyn C. Thomas

Publication date 7 October 2016

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

Full work available at URL https://doi.org/10.1016/j.ejor.2016.01.054

zbMATH Keywords

regressiongeneralized additive modelsrisk analysiscredit cardsexposure at default

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 5209873 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• A new look at the statistical model identification
• A new mixture model for the estimation of credit card exposure at default
• Estimation of Relationships for Limited Dependent Variables
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Generalized Additive Models for Location, Scale and Shape
• Mixture cure models in credit scoring: if and when borrowers default
• Survival Analysis Methods for Personal Loan Data

Cited in

(6)

• Sharp asymptotics for large portfolio losses under extreme risks
• Optimizing credit limit adjustments under adversarial goals using reinforcement learning
• Bartlett corrections for zero-adjusted generalized linear models
• A class of residuals for outlier identification in zero adjusted regression models
• Modelling credit card exposure at default using vine copula quantile regression
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

Describes a project that uses

Uses Software

• GAMLSS
• ElemStatLearn

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