Loss Given Default Estimation with Machine Learning Ensemble Methods
This thesis evaluates the performance of three machine learning methods in prediction of the Loss Given Default (LGD). LGD can be seen as the opposite of the recovery rate, i.e. the ratio of an outstanding loan that the loan issuer would not be able to recover in case the customer would default. The...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2020
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-279846 |