Comparison of single distribution and mixture distribution models for modelling LGD
نویسندگان
چکیده
Estimating Recovery Rate and Recovery Amount has taken a more importance in consumer credit because of both the new Basel Accord regulation and the increase in number of defaulters due to the recession. We examine whether it is better to estimate Recovery Rate (RR) or Recovery amounts. We use linear regression and survival analysis models to model Recovery rate and Recovery amount, thus to predict Loss Given Default (LGD) for unsecured personal loans. We also look at the advantages and disadvantages of using single distribution model or mixture distribution models for default.
منابع مشابه
Comparisons of linear regression and survival analysis using single and mixture distributions 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 Recovery amounts, so as to predict Loss Given Default (LGD) for unsecured consumer loans or credit cards...
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