Comparison of linear regression and survival analysis using single and mixture distribution approaches in modelling LGD


Zhang, Jie and Thomas, Lyn C. (2012) Comparison of linear regression and survival analysis using single and mixture distribution approaches in modelling LGD. [in special issue: Special Section 1: The Predictability of Financial Markets. Special Section 2: Credit Risk Modelling and Forecasting] International Journal of Forecasting, 28, (1), 204-215. (doi:10.1016/j.ijforecast.2010.06.002).

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Description/Abstract

Estimating Recovery Rate and Recovery Amount has become important in consumer credit because of the new Basel Accord regulation and because of the increase in number of defaulters due to the recession. We compare linear regression and survival analysis models for modelling Recovery rates and Recovery amounts, so as to predict Loss Given Default (LGD) for unsecured consumer loans or credit cards. We also look at the advantages and disadvantages of using single distribution models or mixture distribution models for estimating these quantities.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/j.ijforecast.2010.06.002
ISSNs: 0169-2070 (print)
Keywords: recovery rate, linear regression, survival analysis, mixture distribution, loss given default forecasts
Subjects: H Social Sciences > HG Finance
Divisions : University Structure - Pre August 2011 > School of Management
Faculty of Business and Law > Southampton Business School > Centre of Excellence for International Banking, Finance & Accounting
ePrint ID: 185279
Accepted Date and Publication Date:
Status
January 2012Published
Date Deposited: 18 Jan 2012 10:09
Last Modified: 31 Mar 2016 13:38
URI: http://eprints.soton.ac.uk/id/eprint/185279

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