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Weighted Quantile Regression Forests for Bimodal Distribution Modeling: A Loss Given Default Case
Due to various regulations (e.g., the Basel III Accord), banks need to keep a specified amount of capital to reduce the impact of their insolvency. This equity can be calculated using, e.g., the Internal Rating Approach, enabling institutions to develop their own statistical models. In this regard,...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517045/ https://www.ncbi.nlm.nih.gov/pubmed/33286317 http://dx.doi.org/10.3390/e22050545 |