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A zero-adjusted gamma model for mortgage loan loss given default

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References

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2000A note on concordance correlation coefficient.316 cited
2008Loss given default of high loan-to-value residential mortgages193 cited
2011Benchmarking regression algorithms for loss given default modeling186 cited
2010Forecasting bank loans loss-given-default171 cited
2011Loss given default models incorporating macroeconomic variables for credit cards161 cited
2011Comparison of modeling methods for Loss Given Default151 cited
2010Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD96 cited

Cited by

2011Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data62 cited
2021Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach42 cited
2016Exposure at default models with and without the credit conversion factor34 cited
2011Comparing debt characteristics and LGD models for different collections policies

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25 cited

2021Local logit regression for loan recovery rate21 cited

2018Predicting loss severities for residential mortgage loans: A three-step selection approach21 cited

2021Predicting loss given default using post-default information18 cited

2020Loss given default decomposition using mixture distributions of in-default events12 cited

2023Predicting loss given default of unsecured consumer loans with time-varying survival scores10 cited