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ArticleLoss given default decomposition using mixture distributions of in-default events

Wojciech Starosta2020

Article2020

Loss given default decomposition using mixture distributions of in-default events

Wojciech Starosta

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

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Financial Distress and Bankruptcy Prediction Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries 2007The Credit Scoring Toolkit 2008Loss given default of high loan-to-value residential mortgages 2005Bank loan losses-given-default: A case study 2011Benchmarking regression algorithms for loss given default modeling 2011Loss given default models incorporating macroeconomic variables for credit cards 2011Comparison of modeling methods for Loss Given Default 2017Integrated framework for profit-based feature selection and SVM classification in credit scoring

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Year2020

Typearticle

Published2020-11-27

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations12

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.1016/j.ejor.2020.11.034

openalex_workW3107724528

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