Artikel
Survival Analysis in LGD Modeling
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
- Language
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Englisch
- Bibliographic citation
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Journal: European Financial and Accounting Journal ; ISSN: 1805-4846 ; Volume: 7 ; Year: 2012 ; Issue: 1 ; Pages: 6-27 ; Prague: University of Economics, Faculty of Finance and Accounting
- Classification
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Management
Semiparametric and Nonparametric Methods: General
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Subject
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Regulatory capital
Recovery rate
Loss given default
Credit risk
Correlation
- Event
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Geistige Schöpfung
- (who)
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Witzany, Jiří
Rychnovský, Michal
Charamza, Pavel
- Event
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Veröffentlichung
- (who)
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University of Economics, Faculty of Finance and Accounting
- (where)
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Prague
- (when)
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2012
- DOI
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doi:10.18267/j.efaj.12
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Witzany, Jiří
- Rychnovský, Michal
- Charamza, Pavel
- University of Economics, Faculty of Finance and Accounting
Time of origin
- 2012