Free shipping on orders over 19,990 Ft via Packeta, Fox Post Box, and DPD Collection Point

Check order status

Become part of a community of book lovers from all over the world and get access to a whole bunch of benefits. Create an account for free

Free delivery for purchases over 19 990 Ft

DPD point 990 Ft DPD courier 1 190 Ft GLS point 1 190 Ft Hungarian Post 1 795 Ft Hungarian Post 1 690 Ft Hungarian Post 1 690 Ft FoxPost 1 190 Ft Packeta point 1 190 Ft GLS courier 1 690 Ft

Contact

How to shop

Help

My account

▸ Empty :-(

Free shipping on orders over 19,990 Ft via Packeta, Fox Post Box, and DPD Collection Point

Loss Given Default Modeling: a Comparative Analysis

Name: Loss Given Default Modeling: a Comparative Analysis
Brand: LAP Lambert Academic Publishing
SKU: 18715689
Price: 10362 HUF
Availability: InStock
Author: Olga Yashkir
ISBN: 9786202093750

Olga Yashkir

Yuri Yashkir

Language

English

Book Paperback

Libristo code: 18715689

Publishers LAP Lambert Academic Publishing, November 2016

Several most popular Loss Given Default (LGD) models were investigated (LSM, Tobit, Three-Tiered Tob... Full description

Libristo code: 18715689

69 b

10 362 Ft

In stock at our supplier Shipping in 5-8 days

Up to 30 days for returns

Customers also purchased

Die abenteuerliche Reise des Marienkäferchens Coccinella Helga Mück

Hardback

5 279 Ft

leben // gestalten Ulf Kilian

Hardback

8 295 Ft

NENA (Remastered & Selected Works) Nena

Audio CD

7 899 Ft

Harry Potter et l'Ordre du Phénix Rowling

Paperback

13 312 Ft

Carte des Vignobles et Vins de France - Affiche 50x70cm

binding.

11 196 Ft

Pathfinder 2 - Zeitalter dVO: Abstammungen & Herkünfte Samantha Phelan

Paperback

11 830 Ft

Die Sünde aber gebiert den Tod Andrea Schacht

Paperback

3 654 Ft

Les droits sexuels ou la destruction programmée de l’enfance et de la famille Sigaut

Paperback

9 562 Ft

Naturbegriff in der Fruhen Neuzeit Thomas Leinkauf

Hardback

59 011 Ft

Charite sacerdotale, ou Lecons elementaires de theologie pastorale. Tome 2 DESURMONT-A

Paperback

13 807 Ft

Scrivere D'acquerello Simone Fappanni

Paperback

6 437 Ft

Max Warburg Gabriele Hoffmann

Hardback

6 799 Ft

Several most popular Loss Given Default (LGD) models were investigated (LSM, Tobit, Three-Tiered Tobit, Beta Regression, Inflated Beta Regression, Censored Gamma Regression) in order to compare their performance. We show that for a given input data set, the quality of the model calibration depends mainly on the proper choice of explanatory variables, but not on the fitting model. Model factors were chosen based on their correlation with historical LGDs of the calibration data set. Numerical values of non-quantitative parameters (industry, ranking, type of collateral) were introduced as their LGD average. We show that different debt instruments depend on different sets of model factors (from three factors for Revolving Credit or for Subordinated Bonds to eight factors for Senior Secured Bonds). Calibration of LGD models using distressed business cycle periods provide better fit than data from total available time span. Calibration algorithms and details of their realization using the R statistical package are presented. We demonstrate how LGD models can be used for stress testing. The results of this study can be of use to risk managers concerned with the Basel accord compliance.