Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases
A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics and practitioners. The main purpose of this pape...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/2/42 |