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A Copula Sample Selection Model for Predicting Multi-Year LGDs and Lifetime Expected Losses

Krüger, Steffen , Oehme, Toni, Rösch, Daniel and Scheule, Harald (2018) A Copula Sample Selection Model for Predicting Multi-Year LGDs and Lifetime Expected Losses. Journal of Empirical Finance 47, pp. 246-262.

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Other URL: https://authors.elsevier.com/c/1X61-_L5lu8tED


Abstract

Recent credit risk literature has proposed (i) sample selection models for dependencies between the one-year Probability of Default (PD) and Loss Given Default (LGD), and (ii) multi-year approaches which are limited to default risk. This paper provides a model for the simultaneous prediction of continuous default times and multi-year LGDs. These measures are paramount to predict term structures ...

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Item type:Article
Date:2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.jempfin.2018.04.001DOI
Classification:
NotationType
G20; G28; C51Journal of Economics Literature Classification
Keywords:Continuous time-to-default, IFRS 9 and CECL, Lifetime Expected Loss, Loss Given Default, Multi-period, Term structure
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:37375
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