TY - JOUR
T1 - Generalized beta regression models for random loss given default
AU - Huang, Xinzheng
AU - Oosterlee, Cornelis W.
N1 - Publisher Copyright:
© 2011, Incisive Media Ltd. All rights reserved.
PY - 2011/12
Y1 - 2011/12
N2 - A framework for modeling systematic risk in loss given default in the context of credit portfolio losses is described in this paper. The class of models is very flexible and accommodates skewness and heteroskedastic errors well. The inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, such as the normal approximation and the saddlepoint approximation, to calculate the portfolio loss distribution, value-at-risk and expected shortfall.
AB - A framework for modeling systematic risk in loss given default in the context of credit portfolio losses is described in this paper. The class of models is very flexible and accommodates skewness and heteroskedastic errors well. The inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, such as the normal approximation and the saddlepoint approximation, to calculate the portfolio loss distribution, value-at-risk and expected shortfall.
UR - http://www.scopus.com/inward/record.url?scp=84973466121&partnerID=8YFLogxK
U2 - 10.21314/JCR.2011.150
DO - 10.21314/JCR.2011.150
M3 - Article
AN - SCOPUS:84973466121
SN - 1744-6619
VL - 7
SP - 45
EP - 70
JO - Journal of Credit Risk
JF - Journal of Credit Risk
IS - 4
ER -