Modelos preditivos para LGD

Modelos preditivos para LGD

As instituições financeiras que pretendem utilizar a IRB (Internal Ratings Based) avançada precisam desenvolver métodos para estimar a componente de risco LGD (Loss Given Default). Desde a década de 1950 são apresentadas propostas para modelagem da PD (Probability of default), em contrapartida, a pr...

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Bibliographic Details
Main Author:	Silva, João Flávio Andrade
Other Authors:	Diniz, Carlos Alberto Ribeiro
Format:	Others
Language:	pt
Published:	Biblioteca Digitais de Teses e Dissertações da USP 2018
Subjects:	Distribuição beta bimodal inflacionada em zero Loss Given Default Modelo de regressão beta bimodal inflacionado em zero Regressão Regression Zero inflated bimodal beta distribution Zero inflated bimodal beta regression model
Online Access:	http://www.teses.usp.br/teses/disponiveis/104/104131/tde-13112018-084000/

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