Xinlei Zhao

Government of the United States of America - Office of the Comptroller of the Currency (OCC)

400 7th Street SW

Washington, DC 20219

United States

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Scholarly Papers (1)

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Further Investigation of Parametric Loss Given Default Modeling

Journal of Credit Risk, Forthcoming
Number of pages: 31 Posted: 18 Oct 2016
Phillip Li, Min Qi, Xiaofei Zhang and Xinlei Zhao
Federal Deposit Insurance Corporation, Office of the Comptroller of the Currency - Credit Risk Analysis Division, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
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Abstract:

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bimodal distribution estimation, retransformation methods, gamma regression, inflated beta regression, two-step regression