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Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data

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References

2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
2004What Do We Know About Loss Given Default?280 cited
1983The Determinants of Default on Insured Conventional Residential Mortgage Loans263 cited
2001Default Parameter Estimation Using Market Prices206 cited
2008Loss given default of high loan-to-value residential mortgages193 cited
2003Risk-based capital requirements for mortgage loans179 cited
1969DEFAULT RISK ON FHA‐INSURED HOME MORTGAGES AS A FUNCTION OF THE TERMS OF FINANCING: A QUANTITATIVE ANALYSIS130 cited
2003Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan‐to‐value Ratios106 cited
2013A zero-adjusted gamma model for mortgage loan loss given default81 cited
1999Credit risk models and management80 cited
2006Quantile regression for modelling distributions of profit and loss47 cited

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2017Loss given default adjusted workout processes for leases22 cited

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