Loss Given Default Modeling: a Comparative Analysis
Olga YashkirYuri Yashkir
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Loss Given Default Modeling: a Comparative Analysis

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Several most popular Loss Given Default (LGD) models were investigated (LSM, Tobit, Three-Tiered Tobit, Beta Regression, Inflated Beta Regression, Censored Gamma Regression) in order to compare their performance. We show that for a given input data set, the quality of the model calibration depends mainly on the proper choice of explanatory variables, but not on the fitting model. Model factors were chosen based on their correlation with historical LGDs of the calibration data set. Numerical values of non-quantitative parameters (industry, ranking, type of collateral) were introduced as their L...