Results 1 to 10 of about 177,318 (256)
Weighted Quantile Regression Forests for Bimodal Distribution Modeling: A Loss Given Default Case [PDF]
Entropy, 2020 Due to various regulations (e.g., the Basel III Accord), banks need to keep a specified amount of capital to reduce the impact of their insolvency. This equity can be calculated using, e.g., the Internal Rating Approach, enabling institutions to develop ...
Michał Gostkowski +1 more
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Assessing the discriminatory power of loss given default models. [PDF]
J Appl Stat, 2022 For banks using the Advanced Internal Ratings-Based Approach in accordance with Basel III requirements, the amount of required regulatory capital relies on the banks' estimates of the probability of default, the loss given default and the conversion factor for their credit risk portfolio.
Kazianka H, Morgenbesser A, Nowak T.
europepmc +3 more sources
Determination of Default Probability by Loss Given Default
Procedia Economics and Finance, 2015 Abstract Determination of credit losses can be provided by banks through the use of an analysis of the actual loan defaults. The quantification of expected losses should be based on an analysis of multiple variables, cause the determination process might be problematic, but it is significant for institutions such as banks but also for others.
Erika Spuchlakova +1 more
exaly +2 more sources
Support vector regression for loss given default modelling [PDF]
European Journal of Operational Research, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiao Yao +2 more
exaly +3 more sources
Forecasting probabilities of default and loss rates given default in the presence of selection [PDF]
Journal of the Operational Research Society, 2014 This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic information as important risk factors.
D Rösch, H Scheule
exaly +3 more sources
Loan level loss given default (LGD) study of Indian banks
IIMB Management Review, 2022 Loss given default (LGD) is a critical element in estimating expected as well as unexpected credit losses in banking business. This article investigates written-off history of Indian banks and provides estimates of LGD on loans across sectors, loan ...
Arindam Bandyopadhyay
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Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD
Risks, 2021 Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival analysis to model LGD, a proposed methodology is the default weighted survival analysis (DWSA ...
Morne Joubert +3 more
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Quantifying uncertainty of machine learning methods for loss given default
Frontiers in Applied Mathematics and Statistics, 2022 Machine learning has increasingly found its way into the credit risk literature. When applied to forecasting credit risk parameters, the approaches have been found to outperform standard statistical models. The quantification of prediction uncertainty is
Matthias Nagl +2 more
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Simulation and estimation of loss given default [PDF]
The Journal of Credit Risk, 2011 The aim of our paper is the development of an adequate estimation model for the loss given default, which incorporates the empirically observed bimodality and bounded nature of the distribution. Therefore we introduce an adjusted Expectation Maximization algorithm to estimate the parameters of a univariate mixture distribution, consisting of two beta ...
Stefan Hlawatsch, Sebastian Ostrowski
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Investigating the impact of macroeconomic variables on Risk-Adjusted Return on Capital (RAROC) of Registered Banks on Tehran Stock Exchange and Iran Fara Bourse [PDF]
Journal of Asset Management and Financing, 2021 The Risk-Adjusted Return on Capital (RAROC), as a modern performance measure, is introduced in comparison to traditional performance measures and has been calculated for all the banks listed on the Tehran Stock Exchange and Iran Fara Bourse, based on a ...
Mohammad Sadegh Abdollahi Poor +2 more
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