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Forecasting bank loans loss-given-default

6 references·16 citing·46 second hopsampled

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References

2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
1989Measuring Corporate Bond Mortality and Performance426 cited
2008Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics322 cited
2004What Do We Know About Loss Given Default?280 cited
2009Recovery rates, default probabilities, and the credit cycle216 cited
2005Bank loan losses-given-default: A case study191 cited

Cited by

2011Comparison of modeling methods for Loss Given Default151 cited
2014Support vector regression for loss given default modelling105 cited
2020Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform81 cited
2013A zero-adjusted gamma model for mortgage loan loss given default81 cited
2017Enhancing two-stage modelling methodology for loss given default with support vector machines79 cited
2013Ultimate recovery mixtures75 cited
2013Improvements in loss given default forecasts for bank loans59 cited
2013Loss given default for leasing: Parametric and nonparametric estimations55 cited
2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions

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55 cited

2021Opening the black box – Quantile neural networks for loss given default prediction54 cited

2017Fuzzy decision fusion approach for loss-given-default modeling49 cited

2017Downturn LGD modeling using quantile regression48 cited

2014Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state47 cited

2018Risk Analysis for Large Pools of Loans47 cited

2013Ensemble Predictions of Recovery Rates47 cited

2014MCDM APPROACH TO EVALUATING BANK LOAN DEFAULT MODELS46 cited