Loss given default decomposition using mixture distributions of in-default events-Reference-Cited by-同舟云学术

Loss given default decomposition using mixture distributions of in-default events

Published:2021-08 Issue:3 Volume:292 Page:1187-1199
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Starosta Wojciech^ORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference35 articles.

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4. Basel Committee on Banking Supervision (2017). Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16). Available at https://eba.europa.eu/documents/10180/2033363/Guidelines+on+PD+and+LGD+estimation+%28EBA-GL-2017-16%29.pdf, accessed at 2020-05-16.

5. Belotti, T., & Crook, J. (2010). Loss Given Default models for UK retail credit cards, CRC Working Paper, 09/1.

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