Loss given default models incorporating macroeconomic variables for credit cards

By Tony Bellotti, Jonathan N. Crook. 2012

173 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bc573b6815072090debcee6f11a77a4e713c4cff

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In Economics and Econometrics

1. Raffaella Calabrese

In Finance

1. Raffaella Calabrese

Citations in the corpus

• Estimating bank loans loss given default by generalized additive models (2012, methodology): “Compliant to Basel II (BCBS, 2005) and in line with many empirical studies (Acharya et al., 2007; Altman et al., 2005; Bellotti and Crook, 2012; Bruche and González-Aguado, 2008; Caselli et al., 2008; Figlewski et al., 2007), the chosen macroeconomic variables are the interest on delayed payment…”