Generalized Beta Regression Models for Random Loss-Given-Default

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Post Your Résumé

For Recruiters

Today's Featured Book

A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation
by Richard Bookstaber, John Wiley & Sons, April 17, 2007, Hardcover, 288 pages

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

Generalized Beta Regression Models for Random Loss-Given-Default

by Xinzheng Huang of Delft University Of Technology & Rabobank, and
Cornelis W. Oosterlee of Delft University Of Technology & CWI

May 23, 2008

Abstract: We propose a new framework for modeling systematic risk in Loss-Given-Default (LGD) in the context of credit portfolio losses. The class of models is very flexible and accommodates well skewness and heteroscedastic errors. The quantities in the models have simple economic interpretation. Inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, such as the normal approximation and the saddlepoint approximation, to calculate the portfolio loss distribution, Value at Risk (VaR) and Expected Shortfall (ES).

Books Referenced in this Paper: (what is this?)