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Downturn LGD modeling using quantile regression

Krüger, Steffen ; Rösch, Daniel



Abstract

Literature on Losses Given Default (LGD) usually focuses on mean predictions, even though losses are extremely skewed and bimodal. This paper proposes a Quantile Regression (QR) approach to get a comprehensive view on the entire probability distribution of losses. The method allows new insights on covariate effects over the whole LGD spectrum. In particular, middle quantiles are explainable by ...

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