Comparison of linear regression and survival analysis using single and mixture distribution approaches in modelling LGD
Estimating Recovery Rate and Recovery Amount has become important in consumer credit because of the new Basel Accord regulation and because of the increase in number of defaulters due to the recession. We compare linear regression and survival analysis models for modelling Recovery rates and Recover...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2012-01.
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| Subjects: | |
| Online Access: | Get fulltext |