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
Englisch

Bibliographic citation
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
Management
Semiparametric and Nonparametric Methods: General
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Subject
Regulatory capital
Recovery rate
Loss given default
Credit risk
Correlation

Event
Geistige Schöpfung
(who)
Witzany, Jiří
Rychnovský, Michal
Charamza, Pavel
Event
Veröffentlichung
(who)
University of Economics, Faculty of Finance and Accounting
(where)
Prague
(when)
2012

DOI
doi:10.18267/j.efaj.12
Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Witzany, Jiří
  • Rychnovský, Michal
  • Charamza, Pavel
  • University of Economics, Faculty of Finance and Accounting

Time of origin

  • 2012

Other Objects (12)