Credit Scoring and Its Applications, Second Edition : Back Matter Page 1 Bibliography [1]
Acharya, VV, Bharath, ST, and Srinivasan, A. (2007) Does industry-wide distress affect …

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk
Analytics provides a targeted training guide for risk managers looking to efficiently build or …

Based on UK data for major retail credit cards, we build several models of Loss Given
Default based on account level data, including Tobit, a decision tree model, a Beta and …

This paper gives an extensive overview on the avenues academic research has taken in
exploring the role of credit ratings. In doing so, it relies on a strict methodological approach …

The empirical distribution of the loss given default (LGD) has support [0, 1], contains an
excess of 0s and 1s, and is often multimodal on (0, 1). Though some parametric models …

We propose a new framework for modeling systematic risk in Loss-Given-Default (LGD) in
the context of credit portfolio losses. The class of models is very flexible and accommodates …

Loss given default (LGD) is a critical element in estimating expected as well as unexpected
credit losses in banking business. This article investigates written-off history of Indian banks …

Recovery risk to explain corporate debt premia has not received much attention so far, most
likely due to the difficulties around decomposing the expected loss. We exploit the fact that …

Financial institutions are faced with the challenge to forecast future credit portfolio losses. It
is common practice to focus on portfolio models consisting of a limited set of parameters …

Basel II implementation requires the estimations of probability of default (PD) and migration
rate under hypothetical or historically observed stress scenarios. Typically, financial …