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Quantile regression for modelling distributions of profit and loss
3 references·4 citing·25 second hop
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this work references cited by second hop

References

  • 2002Credit Scoring and Its Applications669 cited
  • 2003Risk-based capital requirements for mortgage loans179 cited
  • 2005The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database88 cited

Cited by

  • 2011Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data62 cited
  • 2014Take it to the limit: Innovative CVaR applications to extreme credit risk measurement26 cited
  • 2018Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation25 cited
  • 2015Predicting recovery rates using logistic quantile regression with bounded outcomes23 cited

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