Non-linearity and the distribution of market-based loss rates

URN to cite this document:: urn:nbn:de:bvb:355-epub-592390
DOI to cite this document:: 10.5283/epub.59239

Nagl, Matthias ; Nagl, Maximilian

; Rösch, Daniel

License: Creative Commons Attribution 4.0
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Date of publication of this fulltext: 24 Sep 2024 08:05

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Abstract

We synthesize the extended linear beta regression with a neural network structure to model and predict the mean and precision of market-based loss rates. We can incorporate non-linearity in mean and precision in a flexible way and resolve the problem of specifying the underlying form in advance. As a novelty, we can show that the proportion of non-linearity for the mean estimates is 14.10% and ...