TY - JOUR ID - 114722 TI - Modelling LGD Using Survival Analysis JO - International Journal of Management, Accounting and Economics JA - IJMAE LA - en SN - AU - Alsarray, Rusul AD - Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Iran Y1 - 2018 PY - 2018 VL - 5 IS - 1 SP - 28 EP - 42 KW - recovery rate KW - linear regression KW - Survival Analysis KW - Loss Given Default forecasts DO - N2 - Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexpected credit losses necessary for credit pricing as well as for calculation of the regulatory Basel II requirement (BCBS, 2006). While the credit rating and probability of default (PD) techniques have been well developed in recent decades, LGD has attracted little attention before 2000s.In this paper, We compare linear regression and survival analysis models for modelling recovery rates and recovery amounts, in order to predict theĀ  LGD for unsecured consumer loans or credit cards. UR - https://www.ijmae.com/article_114722.html L1 - https://www.ijmae.com/article_114722_cfd0c2e9c542d9aff33d926526ad063a.pdf ER -