Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default

by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich

May 30, 2012

Abstract: Regression models for limited continuous dependent variables having a non-negligible probability of attaining exactly their limits are presented. The models differ in the number of parameters and in their flexibility. Fractional data being a special case of limited dependent data, the models also apply to variables that are a fraction or a proportion. It is shown how to fit these models and they are applied to a Loss Given Default dataset from insurance to which they provide a good fit.

JEL Classification: C10, C24, C50, G20, G22.

Keywords: Fractional response variables, censored distributions, Tobit models, limited dependent variables, Loss Given Default.

Published in: Censored Gamma Regression Models for Limited Dependent Variables with an Application to Loss Given Default

Previously titled: Censored Gamma Regression Models for Limited Dependent Variables with an Application to Loss Given Default

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