Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality-Reference-Cited by-同舟云学术

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Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality

Published:2020-03-18 Issue:3 Volume:59 Page:143-172
ISSN:0920-8550
Container-title:Journal of Financial Services Research
language:en
Short-container-title:J Financ Serv Res

Author:

Hwang Ruey-Ching^ORCID,Chu Chih-Kang,Yu Kaizhi

Funder

The Ministry of Science and Technology of Taiwan

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance,Accounting

Link

https://link.springer.com/content/pdf/10.1007/s10693-020-00333-w.pdf

Reference55 articles.

1. Acharya VV, Bharath ST, Srinivasan A (2007) Does industrywide distress affect defaulted firms? Evidence from creditor recoveries. J Financ Econ 85:787–821

2. Agresti A (2002) Categorical data analysis. Wiley, New York

3. Akaike H (1974) A new look at the statistical model identification. IEEE Trans Automatic Control 19:716–723

4. Altman EI (2014) Distressed and defaulted bond investment returns outperformed common stocks and high-yield bonds over last 10 years. http://www.mvis-indices.com/mvis-onehund red/distressed-and-defaulted-bonds-portfolios-continued-outperformance-in-2014. Accessed on 29 July 2018

5. Altman EI, Kalotay EA (2014) Ultimate recovery mixtures. J Bank Financ 40:116–129

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