Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases
نویسندگان
چکیده
A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since new Capital Accord was published June 2004, there has been increasing interest modelling LGD parameter on part both academics and practitioners. The main purpose this paper is to propose estimation approaches that provide more effective results include unresolved cases procedure. motivation for proposed project fact many discussed literature based complete mainly distribution or regression techniques. This presents two different approaches. first KNN non-parametric model, other Cox survival model. suggest model higher performance. used assign observations pools, estimator as average realized values pools. These quite a idea estimating LGD, become promising. advantage approaches, especially kNN-based they can be applied cases. In our we focus how treat when parameter. We examined method outperforms traditional Furthermore, also novel algorithm selecting risk drivers.
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ژورنال
عنوان ژورنال: Risks
سال: 2023
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks11020042