Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices

Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices

Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><sema...

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Bibliographic Details
Main Authors: Kuang-Hua Hu, Shih-Kuei Lin, Yung-Kang Ching, Ming-Chin Hung
Format: Article
Language:English
Published: MDPI AG 2021-08-01
Series:Mathematics
Subjects:
credit default swap index
expected credit loss
GDP
goodness-of-fit
probability of default
risk measures
Online Access:https://www.mdpi.com/2227-7390/9/16/1930

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