Loss Functions for LGD Models Comparison

Jérémy Leymarie, Christophe Hurlin and Antoine Patin
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Antoine Patin: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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Keywords: Forecasts Comparison; Loss Function; Credit Risk Capital Requirement; Loss Given Default (LGD); Risk management (search for similar items in EconPapers)
Date: 2018
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Published in European Journal of Operational Research, 2018, 268 (1), pp.348-360

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Working Paper: Loss functions for LGD model comparison (2018)
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