Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method

DOI10.1007/S00291-022-00689-6MaRDI QIDQ6103193zbMATH OpenWikidataFDO

Authors Marc Gürtler, Marvin Zöllner

Publication date 26 June 2023

Published in OR Spectrum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00291-022-00689-6

zbMATH Keywords

global credit dataLGD distributionsmachine learningparameter estimationrisk management

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Learning and adaptive systems in artificial intelligence (68T05) Reliability, availability, maintenance, inspection in operations research (90B25) Management decision making, including multiple objectives (90B50)

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• Loss functions for loss given default model comparison
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Cited in

(6)

• A new mixture model for the estimation of credit card exposure at default
• Enhancing mortgage rate prediction: a comprehensive evaluation of computational statistical approaches
• Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
• Non-linearity and the distribution of market-based loss rates
• Recurrent double-conditional factor model
• Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards

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