The distribution of the Kolmogorov-Smirnov (KS) test statistic has been widely studied under
the assumption that the underlying theoretical cumulative distribution function (CDF), F (x), is …

With the advent of the new Basel Capital Accord, banking organizations are invited to
estimate credit risk capital requirements using an internal ratings based approach. In order …

We propose to incorporate least squares support vector machine technique into a two-stage
modelling framework to predict recovery rates of credit cards from a UK retail bank. The two …

In the multi-factor framework described in this paper, we use instrument-specific
characteristics, several macroeconomic variables, and industry-specific characteristics as …

In this paper, fuzzy decision fusion techniques are applied to predict loss-given-default of
corporate bonds. In our model, we add the principal components derived from more than …

Abstract The Internal Ratings Based (IRB) approach introduced in the Basel II Accord
requires financial institutions to estimate not just the probability of default, but also the Loss …

Abstract Literature on Losses Given Default (LGD) usually focuses on mean predictions,
even though losses are extremely skewed and bimodal. This paper proposes a Quantile …

This study employs a dataset from three German leasing companies with 14,322 defaulted
leasing contracts to analyze different approaches to estimating the loss given default (LGD) …

An accurate forecast of the parameter loss given default (LGD) of loans plays a crucial role
for risk-based decision making by banks. We theoretically analyze problems arising when …

We propose estimating a model for Loss Given Default (LGD) that allows accounting for
spatial dependence between peer-to-peer (P2P) loans. We suggest the LGD two-stage …