Introducing Two Parsimonious Standard Power Mixture Models for Bimodal Proportional Data with Application to Loss Given Default
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Rosaria Simone, 2022. "On finite mixtures of Discretized Beta model for ordered responses," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 828-855, September.
- Memmel, Christoph & Sachs, Angelika & Stein, Ingrid, 2011. "Contagion at the interbank market with stochastic LGD," Discussion Paper Series 2: Banking and Financial Studies 2011,06, Deutsche Bundesbank.
- Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
- Rosaria Simone & Gerhard Tutz, 2018. "Modelling uncertainty and response styles in ordinal data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 224-245, August.
- Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
- Simone Farinelli & Mykhaylo Shkolnikov, 2012. "Two Models of Stochastic Loss Given Default," Papers 1205.5369, arXiv.org, revised May 2012.
- Leemis, Lawrence M. & McQueston, Jacquelyn T., 2008. "Univariate Distribution Relationships," The American Statistician, American Statistical Association, vol. 62, pages 45-53, February.
- John F. Stewart, 1979. "The Beta Distribution as a Model of Behavior in Consumer Goods Markets," Management Science, INFORMS, vol. 25(9), pages 813-821, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rosaria Simone, 2023. "Uncertainty Diagnostics of Binomial Regression Trees for Ordered Rating Data," Journal of Classification, Springer;The Classification Society, vol. 40(1), pages 79-105, April.
- Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
- Annalisa Di Clemente, 2013. "Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk: an experimental analysis," STUDI ECONOMICI, FrancoAngeli Editore, vol. 2013(109), pages 5-24.
- Domenico Piccolo & Rosaria Simone, 2019. "The class of cub models: statistical foundations, inferential issues and empirical evidence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 389-435, September.
- Gourieroux, Christian & Lu, Yang, 2019.
"Least impulse response estimator for stress test exercises,"
Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
- Christian Gouriéroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises [Least impulse response estimator for stress test exercises]," Post-Print hal-02419030, HAL.
- Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," Working Papers hal-02089698, HAL.
- Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," CEPN Working Papers 2019-05, Centre d'Economie de l'Université de Paris Nord.
- Salvatore D. Tomarchio & Antonio Punzo, 2019. "Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(4), pages 1247-1266, October.
- Thamayanthi Chellathurai, 2017. "Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
- Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.
- Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2015.
"Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 394-412, March.
- Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2012. "Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval," Monash Econometrics and Business Statistics Working Papers 3/12, Monash University, Department of Econometrics and Business Statistics.
- Memmel, Christoph & Sachs, Angelika, 2013.
"Contagion in the interbank market and its determinants,"
Journal of Financial Stability, Elsevier, vol. 9(1), pages 46-54.
- Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank.
- Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018.
"Loss Functions for LGD Models Comparison,"
Post-Print
hal-01923050, HAL.
- Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
- Donker, Han & Ng, Alex & Shao, Pei, 2020. "Borrower distress and the efficiency of relationship banking," Journal of Banking & Finance, Elsevier, vol. 112(C).
- Jobst, Rainer & Kellner, Ralf & Rösch, Daniel, 2020. "Bayesian loss given default estimation for European sovereign bonds," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1073-1091.
- Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
- repec:cep:stiecm:/2011/557 is not listed on IDEAS
- Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
- Joseph L. Breeden, 2024. "An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling," Mathematics, MDPI, vol. 12(10), pages 1-23, May.
- Planas Christophe & Rossi Alessandro, 2024.
"The slice sampler and centrally symmetric distributions,"
Monte Carlo Methods and Applications, De Gruyter, vol. 30(3), pages 299-313.
- Planas, Christophe & Rossi, Alessandro, 2018. "The slice sampler and centrally symmetric distributions," JRC Working Papers in Economics and Finance 2018-11, Joint Research Centre, European Commission.
- Simone, Rosaria & Tutz, Gerhard & Iannario, Maria, 2020. "Subjective heterogeneity in response attitude for multivariate ordinal outcomes," Econometrics and Statistics, Elsevier, vol. 14(C), pages 145-158.
- Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.
- Jiri Witzany, 2013. "Estimating Default and Recovery Rate Correlations," Working Papers IES 2013/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.
More about this item
Keywords
proportional bimodal data; parsimonious model; mixture model; rounding threshold; standard power distribution;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:10:y:2022:i:23:p:4520-:d:988747. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.