Survival analysis in LGD modeling

Arbeitspapier

The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate goodness of fit measures. The empirical testing shows that the Cox proportional model applied to LGD modeling performs better than the linear and logistic regressions. In addition a significant improvement is achieved with the modified pseudo Cox LGD model.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IES Working Paper ; No. 2/2010

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation ; Semiparametric and Nonparametric Methods: General
• Thema: credit risk ; recovery rate ; loss given default ; correlation ; regulatory capital ; Kreditrisiko ; Basler Akkord ; Statistische Methode

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Witzany, Jiří ; Rychnovský, Michael ; Charamza, Pavel
• Ereignis: Veröffentlichung
• (wer): Charles University in Prague, Institute of Economic Studies (IES)
• (wo): Prague
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/83464
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ