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).
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.
|Digital Object Identifier (DOI):||doi:10.1016/j.ijforecast.2010.06.002|
|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
|Date Deposited:||18 Jan 2012 10:09|
|Last Modified:||27 Mar 2014 19:40|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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