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- W2737085532 abstract "There is no doubt whatsoever about the decisive role of the business cycle and macroeconomic factors in measuring LGD. We are interested in analyzing the accuracy of prediction intervals based on the widespread assumption of a single beta distribution when modelling recovery rates over the business cycle in the MKMV framework. Alternative prediction intervals are provided assuming mixtures of two beta distributions, distinguishing between secured and unsecured securities which are strongly or weakly sensitive to the business cycle. Additionally, we propose to construct bootstrap prediction intervals and we compare their performance in order to improve the accuracy of prediction intervals." @default.
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- W2737085532 date "2007-01-25" @default.
- W2737085532 modified "2023-09-24" @default.
- W2737085532 title "Using finite mixtures of beta distributions for improving accuracy of LGD prediction intervals" @default.
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