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ArticleLocal logit regression for loan recovery rate

Nithi Sopitpongstorn2021

Article2021

Local logit regression for loan recovery rate

Nithi Sopitpongstorn · Param Silvapulle · Jiti Gao · Jean-Pierre Fenech

21 citations·0/0 files stored·Journal of Banking & Finance

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

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References

2016Measuring Economic Policy Uncertainty*2004What Do We Know About Loss Given Default?2009Recovery rates, default probabilities, and the credit cycle 2008Loss given default of high loan-to-value residential mortgages 2011Benchmarking regression algorithms for loss given default modeling 2010Forecasting bank loans loss-given-default 2011Comparison of modeling methods for Loss Given Default 2010Measuring Financial Market Stress

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2021Intertemporal defaulted bond recoveries prediction via machine learningarticle · 9 shared references 2021Predicting loss given default using post-default informationarticle · 9 shared references 2018Loss functions for Loss Given Default model comparisonarticle · 8 shared references 2021Opening the black box – Quantile neural networks for loss given default predictionarticle · 7 shared references 2017Fuzzy decision fusion approach for loss-given-default modelingarticle · 7 shared references 2019Recovery Rates: Uncertainty Certainly Mattersarticle · 7 shared references

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Year2021

Typearticle

Published2021-02-21

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations21

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.1016/j.jbankfin.2021.106093

openalex_workW3130411973

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