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

657

Downloads

48

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.).

Endogeneity in survey research

International Journal of Research in Marketing (2018)

Sande Jon Bingen and Ghosh Mrinal

The Leverage Effect and the Basket-Index Put Spread

Journal of Financial Economics (2018)

Bai Jennie, Goldstein Robert, and Yang Fan

Huggett Economies with Multiple Stationary Equilibria

Journal of Economic Dynamics and Control (2017)

Toda Alexis Akira

Securitized Markets, International Capital Flows, and Global Welfare

Working Paper (2016)

Toda Alexis Akira and Phelan Gregory

Growth Effects of Annuities and Government Transfers in Perpetual Youth Models

Journal of Mathematical Economics (2017)

Miyoshi Yoshiyuki and Toda Alexis Akira

Edgeworth Box Economies with Multiple Equilibria

Economic Theory Bulletin (2017)

Toda Alexis Akira and James Kieran

A Note on the Size Distribution of Consumption: More Double Pareto than Lognormal

Macroeconomic Dynamics (2017)

Toda Alexis Akira

Capturing flexible correlations in multiple-discrete choice outcomes using copulas

International Journal of Research in Marketing (2018)

Kim Chul, Jun Duk Bin, and Park Sungho

2017-12-13

Zip Archive

217

186

14

Consumer power and choice deferral: The role of anticipated regret

International Journal of Research in Marketing (2017)

Mourali Mehdi, Yang Zhiyong, Pons Frank, and Hassay Derek

0 comment

Add comment

You need to log in to post a comment.