Loss given default models incorporating macroeconomic variables for credit cards
نویسندگان
چکیده
منابع مشابه
Loss given default models incorporating macroeconomic variables for credit cards
Based onUKdata formajor retail credit cards,we build severalmodels of Loss GivenDefault based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic variables perform best for forecasting Loss Given Default at the account and portfolio levels on independent hold-out data sets. The i...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2012
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2010.08.005