Local logit regression for recovery rate

journal contribution

posted on 2022-11-09, 02:46 authored by Nithi Sopitpongstorn, Param Silvapulle, Jiti Gao

We propose a flexible and robust nonparametric local logit regression for modelling

History

Classification-JEL

C14, C53, G02, G32

Creation date

2017-11-04

Working Paper Series Number

19/17

Length

42

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-19

Usage metrics

Categories

Keywords

Loss given default credit risk nonlinearity kernel estimation defaulted debt simulation.

Licence

Exports

RefWorks

BibTeX

Ref. manager

Endnote

DataCite

NLM

DC