Loss functions for LGD models comparison

By Hurlin Christophe, Leymarie Jérémy, and Patin Antoine
Working Paper (2017)

  • Christophe Hurlin

    University of Orléans

    France

  • Jérémy Leymarie

    University of Orléans

    France

  • Antoine Patin

    Associate Researcher. University of Orléans

    France

Created

May 5, 2017

Last update

May 5, 2017

Software

Matlab

Ranking

162

Visits

101

Downloads

9

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.).

Threshold Effects in the Public Capital Productivity: AnInternational Panel Smooth Transition Approach

IDEAS (2006)

Hurlin Christophe and Colletaz Gilbert

The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach'

Economic Modelling (2008)

Hurlin Christophe, Rabaud Isabelle, and Fouquau Julien

Maximum likelihood estimation of the equity premium

Journal of Financial Economics (2017)

Avdis Efstathios and Wachter Jessica

Tradable aggregate risk factors and the cross-section of stock returns

Working Paper (2016)

Pekkala Tapio and Doskov Nikolay

Compensatory Word of Mouth: Advice as a Device to Restore Control

International Journal of Research in Marketing (2017)

Peluso Alessandro M., Bonezzi Andrea , De Angelis Matteo, and Rucker Derek D.

2016-10-18

Zip Archive

511

147

21

Higher-order statistics for DSGE models

Econometrics and Statistics (2016)

Mutschler Willi

Pitfalls in Systemic-Risk Scoring

SSRN (2016)

Perignon Christophe, Hurlin Christophe, and Benoit Sylvain

Volatility Forecast Comparison Using Imperfect Volatility Proxies

Journal of Econometrics (2011)

Patton Andrew J.

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Econometrica (2002)

Ait-Sahalia Yacine

0 comment

Add comment

You need to log in to post a comment.