Support vector regression for loss given default modelling

European Journal of Operational Research

Volumn 240, Issue 2, 2015, Pages 528-538

  Yao, Xiao ^a   Crook, Jonathan ^a   Andreeva, Galina ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Credit risk modelling; Loss given default; Recovery rate; Support vector regression

Indexed keywords

FORECASTING; REGRESSION ANALYSIS; RISK ASSESSMENT;

CREDIT RISKS; ECONOMIC CAPITAL; LEAST SQUARE SUPPORT VECTOR REGRESSIONS; LOSS GIVEN DEFAULTS; PREDICTION ACCURACY; PREDICTIVE ABILITIES; RECOVERY RATE; SUPPORT VECTOR REGRESSION (SVR);

VECTORS;

EID: 84922337893     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2014.06.043     Document Type: Article

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