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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Statistical techniques for Loss Given Default Modeling
 Betíková, Veronika ; Vaníček, Karel (advisor) ; Zichová, Jitka (referee)
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Karel Vaníček Supervisor's e-mail address: karelvanicek@seznam.cz Abstract: The aim of this thesis is to introduce Loss given default as one of the parameters of credit risk. The thesis discusses the basic characters and meth- ods of LGD calculation. It also points out the common use of linear regression models and generalized linear models which are used in practice to estimate LGD parameter. Individual mathematical models and statistical methods for estima- tions of the parameters of such models are concisely described and consequently applied on simulated data. Keywords: LGD, beta regression, OLS, estimation 1
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Econometric Estimation of Loss Given Default
 Jacina, Viktor ; Dlouhá, Zuzana (advisor) ; Formánek, Tomáš (referee)
One of the most mentioned credit risk parameters in banking sector is loss given default (LGD). The regulatory framework allows to use own LGD estimation procedures after approval. The classification and regression trees are appropriate and flexible in this context and they offer some advantages comparing to the traditional approaches such as linear regression model. This work includes a theoretical background on tree based methods. In the last section, loss given default from debit accounts is estimated using the random forests which show the best performance in this case.
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