Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD

Jie Zhang and Lyn C. Thomas

International Journal of Forecasting, 2012, vol. 28, issue 1, 204-215

Abstract: Estimating the recovery rate and recovery amount has become important in consumer credit due to the new Basel Accord regulation and the increase in the number of defaulters as a result of the recession. We compare linear regression and survival analysis models for modelling recovery rates and recovery amounts, in order to predict the loss given default (LGD) for unsecured consumer loans or credit cards. We also look at the advantages and disadvantages of using single and mixture distribution models for estimating these quantities.

Keywords: Recovery rate; Linear regression; Survival analysis; Mixture distribution; Loss Given Default forecasts (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:1:p:204-215

DOI: 10.1016/j.ijforecast.2010.06.002

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