Comparison of linear regression and survival analysis using single and mixture distribution approaches in modelling LGD
Comparison of linear regression and survival analysis using single and mixture distribution approaches in modelling LGD
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.
recovery rate, linear regression, survival analysis, mixture distribution, loss given default forecasts
204-215
Zhang, Jie
21de2303-4727-4097-9b0f-ae43d95d052a
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
January 2012
Zhang, Jie
21de2303-4727-4097-9b0f-ae43d95d052a
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
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), .
(doi:10.1016/j.ijforecast.2010.06.002).
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.
Text
recovery_paper-ijf_revised3.pdf
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Published date: January 2012
Keywords:
recovery rate, linear regression, survival analysis, mixture distribution, loss given default forecasts
Organisations:
Centre of Excellence for International Banking, Finance & Accounting, Management
Identifiers
Local EPrints ID: 185279
URI: http://eprints.soton.ac.uk/id/eprint/185279
ISSN: 0169-2070
PURE UUID: fab6a0ba-940e-4337-b637-5b29ad0a78ec
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Date deposited: 18 Jan 2012 10:09
Last modified: 14 Mar 2024 03:12
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Contributors
Author:
Jie Zhang
Author:
Lyn C. Thomas
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