Modelling LGD for unsecured retail loans using Bayesian methods
نویسندگان
چکیده
منابع مشابه
Modelling LGD for unsecured retail loans using Bayesian methods
Loss Given Default (LGD) is the loss borne by the bank when a customer defaults on a loan. LGD for unsecured retail loans is often found difficult to model. In the frequentist (non-Bayesian) two-step approach, two separate regression models are estimated independently, which can be considered potentially problematic when trying to combine them to make predictions about LGD. The result is a poin...
متن کاملLGD for unsecured retail loans using Bayesian methods
Loss Given Default (LGD) is the loss borne by the bank when a customer defaults on a loan. LGD for unsecured retail loans is often found difficult to model. In the frequentist (nonBayesian) two-step approach, two separate regression models are estimated independently, which can be considered potentially problematic when trying to combine them to make predictions about LGD. The result is a point...
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parameters in a bank’s risk-rating system that impact facility ratings, approval levels, and the setting of loss reserves, as well as developing credit capital underlying risk and profitability calculations. LGD can be measured as either the net charge-off rate (accounting LGD), or the present value of cash losses (economic LGD), with respect to the initial book value of a defaulted obligation....
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I have been working in the Bayes research group of the Neural Network Research Centre, HUT. In our group, we apply variational Bayesian learning to identify different types of latent variable models such as (non)linear factor analysis, independent component analysis and their extensions. The resulting algorithms can be used for data compression, feature extraction or blind source separation. My...
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ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2015
ISSN: 0160-5682,1476-9360
DOI: 10.1057/jors.2014.9