Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state

@article{Tobback2014ForecastingLG,
  title={Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state},
  author={Ellen Tobback and David Martens and Tony Van Gestel and Bart Baesens},
  journal={JORS},
  year={2014},
  volume={65},
  pages={376-392}
}
Based on two datasets containing Loss Given Default (LGD) observations of home equity and corporate loans, we consider non-linear and non-parametric techniques to model and forecast LGD. These techniques include non-linear Support Vector Regression (SVR), a regression tree and a two-stage model combining a linear regression with SVR. We compare these models with an ordinary least squares linear regression. In addition, we incorporate several macroeconomic variables to estimate the influence of… CONTINUE READING

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