Loss functions for Loss Given Default model 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

157

Visits

553

Downloads

34

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.). Furthermore, the code incorporates additional content of the revised version of the paper.

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