Assessing the Loss Given Default of Bank Loans Using the Hybrid Algorithms Multi-Stage Model

Assessing the Loss Given Default of Bank Loans Using the Hybrid Algorithms Multi-Stage Model

The loss given default (LGD) is an important credit risk parameter in the regulatory system for financial institutions. Due to the complex structure of the LGD distribution, we propose a new approach, called the hybrid algorithms multi-stage (HMS) model, to construct a multi-stage LGD prediction mod...

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Bibliographic Details
Main Authors: Mengting Fan, Tsung-Hsien Wu, Qizhi Zhao
Format: Article
Language:English
Published: MDPI AG 2023-10-01
Series:Systems
Subjects:
loss given default prediction
credit risk
unsupervised machine learning
supervised machine learning
multi-stage model
Online Access:https://www.mdpi.com/2079-8954/11/10/505

Internet

https://www.mdpi.com/2079-8954/11/10/505

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