Loss functions for Loss Given Default model comparison

By Hurlin Christophe, Leymarie Jérémy, and Patin Antoine
European Journal of Operational Research (2018)

  • Christophe Hurlin

    University of Orléans

    France

  • Jérémy Leymarie

    EDHEC Business School

    France

  • Antoine Patin

    Associate Researcher. University of Orléans

    France

Created

May 5, 2017

Last update

May 5, 2017

Software

Matlab

Ranking

168

Visits

2358

Downloads

176

Description

This Matlab code allows to reproduce most of the tables and figures of the article "Loss functions for LGD Models Comparison". The matrices contain loss given default (LGD) and regulatory capital (RC) forecasts errors issued from the six competing LGD models examined in the paper for the 1,947 defaulted contracts of the test sample. The Matlab script allows users to reproduce the main figures and tables (LGD and capital charge loss functions values, symmetric and asymmetric loss functions values of the competing models, density of the forecasts errors, etc.).

Debt Intolerance: Threshold level and composition

Oxford Bulletin of Economics and Statistics (2022)

Matsuoka Hideaki

The impact of financial literacy on the quality of self-reported financial information

Journal of Behavioral and Experimental Finance (2022)

Madeira Carlos

The impact of climate change on economic output across industries in Chile

PLOS ONE (2022)

Madeira Carlos

The evolution of macroprudential policy use in Chile, Latin America and the OECD

Journal of Banking Regulation (2022)

Madeira Carlos

The effects of the job retention program during the Covid pandemic on the Chilean firms and households

Applied Economics Letters (2022)

Madeira Carlos

The double impact of deep social unrest and a pandemic: Evidence from Chile

Canadian Journal of Economics (2022)

Madeira Carlos

The impact of the Chilean pension withdrawals during the Covid pandemic on the future savings rate

Journal of International Money and Finance (2022)

Madeira Carlos

The International Spillover Effects of US Monetary Policy Uncertainty

Journal of International Economics (2021)

Lakdawala Aeimit, Moreland Timothy, and Schaffer Matthew

The impact of the Covid public policies on the Chilean households

Applied Economics Letters (2021)

Madeira Carlos

0 comment

Add comment

You need to log in to post a comment.