Open AccessDefault weighted survival analysis to directly model loss given default
Author(s) -
Morne Joubert,
Tanja Verster,
Helgard Raubenheimer
Publication year - 2018
Publication title -
south african statistical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.169
H-Index - 10
eISSN - 1996-8450
pISSN - 0038-271X
DOI - 10.37920/sasj.2018.52.2.5
Subject(s) - loss given default , ordinary least squares , econometrics , statistics , proportional hazards model , computer science , regression analysis , regression , default risk , mathematics , credit risk , capital requirement , economics , actuarial science , microeconomics , incentive