Downturn Loss Given Default: Mixture distribution estimation

European Journal of Operational Research

Volumn 237, Issue 1, 2014, Pages 271-277

  Calabrese, Raffaella ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Downturn LGD; EM algorithm; Mixed random variable; Mixture model

Indexed keywords

ALGORITHMS; MIXTURES;

BASEL CAPITAL ACCORD; DOWNTURN LGD; ECONOMIC DOWNTURN; EM ALGORITHMS; LOSS GIVEN DEFAULTS; MIXTURE DISTRIBUTIONS; MIXTURE MODEL; PARAMETRIC MODELING;

ESTIMATION;

EID: 84898804097     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2014.01.043     Document Type: Article

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