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Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation · Study

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ArticleSystematic Effects among Loss Given Defaults and their Implications on Downturn Estimation

Jennifer Betz2018

Article2018

Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation

Jennifer Betz · Ralf Kellner · Daniel Rösch

25 citations·0/0 files stored·European Journal of Operational Research

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Financial Distress and Bankruptcy Prediction

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References

2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries 2009Frailty Correlated Default 2009Recovery rates, default probabilities, and the credit cycle 2008Loss given default of high loan-to-value residential mortgages 2005Bank loan losses-given-default: A case study 2010Forecasting bank loans loss-given-default 2011Loss given default models incorporating macroeconomic variables for credit cards 2012The Determinants of Recovery Rates in the US Corporate Bond Market

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2018Loss functions for Loss Given Default model comparisonarticle · 13 shared references 2021Predicting loss given default using post-default informationarticle · 11 shared references 2019Predicting loss given default in leasing: A closer look at models and variable selectionarticle · 10 shared references 2021Intertemporal defaulted bond recoveries prediction via machine learningarticle · 10 shared references 2017Fuzzy decision fusion approach for loss-given-default modelingarticle · 9 shared references 2021Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approacharticle · 8 shared references

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Year2018

Typearticle

Published2018-06-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations25

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.ejor.2018.05.059

openalex_workW2806986051

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