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Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality |
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| Authors: | Hwang Ruey-Ching Chu Chih-Kang Yu Kaizhi |
| Institution: | 1.Department of Finance, National Dong Hwa University, Hualien, Taiwan ;2.Department of Applied Mathematics, National Dong Hwa University, Hualien, Taiwan ;3.School of Statistics, Southwestern University of Finance and Economics, Chengdu, China ; |
| Abstract: | 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... |
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| 本文献已被 SpringerLink 等数据库收录！ | |