Sökning: "Zero-and-One Inflated Beta Regression"

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1. 1. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carolina Ljung; Maria Svedberg; [2020]
   Nyckelord :Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

   Sammanfattning : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. LÄS MER