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Loss given default models incorporating macroeconomic variables for credit cards [PDF]

open access: yesInternational Journal of Forecasting, 2012
Based on UK data for major retail credit cards, we build several models of Loss Given Default based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with
Jonathan Crook
exaly   +2 more sources
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