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Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD
8 references·16 citing·43 second hop
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this work references cited by second hop

References

  • 1997Market Segmentation: Conceptual and Methodological Foundations1,866 cited
  • 1977ZETATM analysis A new model to identify bankruptcy risk of corporations1,812 cited
  • 2004What Do We Know About Loss Given Default?280 cited
  • 2008Loss given default of high loan-to-value residential mortgages193 cited
  • 2005Bank loan losses-given-default: A case study191 cited
  • 2004Measuring and Managing Credit Risk133 cited
  • 2009Benefits of quantile regression for the analysis of customer lifetime value in a contractual setting: An application in financial services112 cited
  • 2005The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database88 cited

Cited by

  • 2015Box office forecasting using machine learning algorithms based on SNS data107 cited
  • 2020Forecasting recovery rates on non-performing loans with machine learning82 cited
  • 2013A zero-adjusted gamma model for mortgage loan loss given default81 cited
  • 2013Ultimate recovery mixtures75 cited
  • 2019A prediction-driven mixture cure model and its application in credit scoring67 cited
  • 2013Loss given default for leasing: Parametric and nonparametric estimations55 cited
  • 2016

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Predicting creditworthiness in retail banking with limited scoring data
54 cited
  • 2020A DYNAMIC CREDIT SCORING MODEL BASED ON SURVIVAL GRADIENT BOOSTING DECISION TREE APPROACH50 cited
  • 2017Fuzzy decision fusion approach for loss-given-default modeling49 cited
  • 2021Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach42 cited
  • 2017Forecasting loss given default of bank loans with multi-stage model42 cited
  • 2018Loss functions for Loss Given Default model comparison37 cited
  • 2014Modelling LGD for unsecured retail loans using Bayesian methods33 cited
  • 2019Predicting loss given default in leasing: A closer look at models and variable selection31 cited
  • 2021Incorporating multilevel macroeconomic variables into credit scoring for online consumer lending29 cited
  • 2016Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses28 cited