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Mathematical Models for LGD
 Rychnovský, Michal ; Zvára, Karel (referee) ; Charamza, Pavel (advisor)
The aim of the present work is to describe possible models for LGD estimation and to test them on the real data. Besides common linear and logistic regression models we aim to describe the methods using running and censored observations - based on the Cox model and the two-step regression. This work first briefly outlines the principle of the capital requirement according to the Basel II. Then, individual methods are described and finally applied to the real banking data.
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