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We propose a new procedure to estimate the loss given default (LGD) distribution. Owing to the complicated shape of the LGD distribution, using a smooth density function as a driver to estimate it may result in a decline in model fit. To overcome this problem, we first apply the logistic regression to estimate the LGD cumulative distribution function. Then, we convert the result into the LGD distribution estimate. To implement the newly proposed estimation procedure, we collect a sample of 5269 defaulted debts from Moody’s Default and Recovery Database. A performance study is performed using 2000 pairs of in-sample and out-of-sample data-sets with different sizes that are randomly selected from the entire sample. Our results show that the newly proposed procedure has better and more robust performance than its alternatives, in the sense of yielding more accurate in-sample and out-of-sample LGD distribution estimates. Thus, it is useful for studying the LGD distribution. 相似文献
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Journal of Financial Services Research - We propose a new procedure to predict the loss given default (LGD) distribution. Studies find empirical evidence that LGD values have a high concentration... 相似文献
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Foreign environmental factors influencing American consumers' predispositions toward European products 总被引:1,自引:1,他引:0
Chih-Kang Wang Ph.D. Charles W. Lamb D.B.A. 《Journal of the Academy of Marketing Science》1980,8(4):345-356
The purpose of the study reported here was to measure the effects of foreign economic and political environments on American
consumers' willingness to buy European-made products. Findings revealed a significant difference in consumers' willingness
to buy products from various European countries. Furthermore, American consumers' willingness to buy products from selected
countries was found to be strongly affected by their perceptions of the level of economic development and the political climate
in the products' country of origin. 相似文献
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Logistic quantile regression (LQR) is used for studying recovery rates. It is developed using monotone transformations. Using Moody’s Ultimate Recovery Database, we show that the recovery rates in different partitions of the estimation sample have different distributions, and thus for predicting recovery rates, an error-minimizing quantile point over each of those partitions is determined for LQR. Using an expanding rolling window approach, the empirical results confirm that LQR with the error-minimizing quantile point has better and more robust out-of-sample performance than its competing alternatives, in the sense of yielding more accurate predicted recovery rates. Thus, LQR is a useful alternative for studying recovery rates. 相似文献
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A forward default prediction method based on the discrete-time competing risk hazard model (DCRHM) is proposed. The proposed model is developed from the discrete-time hazard model (DHM) by replacing the binary response data in DHM with the multinomial response data, and thus allowing the firms exiting public markets for different causes to have different effects on forward default prediction. We show that DCRHM is a reliable and efficient model for forward default prediction through maximum likelihood analysis. We use actual panel data-sets to illustrate the proposed methodology. Using an expanding rolling window approach, our empirical results statistically confirm that DCRHM has better and more robust out-of-sample performance than DHM, in the sense of yielding more accurate predicted number of forward defaults. Thus, DCRHM is a useful alternative for studying forward default losses on portfolios. 相似文献
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The purpose of this study was to measure the effects of foreign economic, political, and cultural environments on American consumers' willingness to buy foreign products. Results of a self-administered mail questionnaire revealed that respondents were most willing to buy products from economically developed free countries with a European, Australian, or New Zealand culture. 相似文献
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