Exposure at default models with and without the credit conversion factor

DOI10.1016/J.EJOR.2016.01.054zbMATH Open1346.62111OpenAlexW2264287315MaRDI QIDQ323002FDOQ323002

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

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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)

Cites Work

• Estimation of Relationships for Limited Dependent Variables
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Title not available (Why is that?)
• A new look at the statistical model identification
• Title not available (Why is that?)
• Generalized Additive Models for Location, Scale and Shape
• Survival Analysis Methods for Personal Loan Data
• Mixture cure models in credit scoring: if and when borrowers default
• Title not available (Why is that?)
• A new mixture model for the estimation of credit card exposure at default

Cited In (6)

• Optimizing credit limit adjustments under adversarial goals using reinforcement learning
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• 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
• Sharp asymptotics for large portfolio losses under extreme risks

Uses Software

• GAMLSS
• ElemStatLearn

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