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

158

Visits

480

Downloads

28

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.).

Time-Varying Risk Premium in Large Cross-Sectional Equity Data Set

Econometrica (2016)

Scaillet Olivier, Gagliardini Patrick, and Ossola Elisa

2017-09-14

Zip Archive

36

179

5

Nonparametric Instrumental Variables Estimation of Structural Quantile Effects

Econometrica (2012)

Scaillet Olivier and Gagliardini Patrick

2017-09-13

Zip Archive

28

181

2

Technical trading revisited: False discoveries, persistence tests, and transaction costs

Journal of Financial Economics (2012)

Bajgrowicz Pierre and Scaillet Olivier

2017-09-13

Zip Archive

41

178

3

Effects of market default risk on index option risk-neutral moments

Quantitative Finance (2015)

Andreou Panayiotis

An experience-utility explanation of the preference for larger assortments

International Journal of Research in Marketing (2017)

Aydinli Aylin , Gu Yangjie, and Tuan Pham Michel

Corporate social responsibility and product quality:Complements or substitutes?

International Journal of Research in Marketing (2017)

Banerjee Sumitro and Wathieu Luc

Empirical generalizations on the impact of stars on the economic success of movies

International Journal of Research in Marketing (2017)

Hofmann Julian, Clement Michel, Völckner Franziska, and Hennig-Thurau Thorsten

How Does the Stock Market Absorb Shocks?

SSRN (2017)

Frank Murray and Sanati Ali

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

IDEAS (2006)

Hurlin Christophe and Colletaz Gilbert

0 comment

Add comment

You need to log in to post a comment.