Modelling LGD for unsecured retail loans using Bayesian methods
Loss Given Default (LGD) is the loss borne by the bank when a customer defaults on a loan. LGD for unsecured retail loans is often found difficult to model. In the frequentist (non-Bayesian) two-step approach, two separate regression models are estimated independently, which can be considered potent...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2015-02-12.
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| Subjects: | |
| Online Access: | Get fulltext |