Downturn LGD modeling using quantile regression
Krüger, Steffen
and Rösch, Daniel
(2017)
Downturn LGD modeling using quantile regression.
Journal of Banking & Finance 79, pp. 42-56.
Date of publication of this fulltext: 10 Mar 2017 12:14
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| Item type | Article | ||||||||
| Journal or Publication Title | Journal of Banking & Finance | ||||||||
| Publisher: | ELSEVIER SCIENCE BV | ||||||||
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| Place of Publication: | AMSTERDAM | ||||||||
| Volume: | 79 | ||||||||
| Page Range: | pp. 42-56 | ||||||||
| Date | June 2017 | ||||||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||||||
| Research groups and research centres | Center of Finance | ||||||||
| Identification Number |
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| Classification |
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| Keywords | RECOVERY RATES; GIVEN-DEFAULT; BANK LOANS; Loss given default; Downturn; Quantile regression; Recovery; Validation | ||||||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics 300 Social sciences > 330 Economics | ||||||||
| Status | Published | ||||||||
| Refereed | Yes, this version has been refereed | ||||||||
| Created at the University of Regensburg | Yes | ||||||||
| Item ID | 35374 |
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