Xiaofei Zhang

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

400 7th Street SW

Washington, DC 20219

United States

SCHOLARLY PAPERS

2

DOWNLOADS

76

CITATIONS

5

Scholarly Papers (2)

1.

Modeling Loss Given Default

FDIC Center for Financial Research Paper No. 2018-03
Number of pages: 51 Posted: 09 Aug 2018 Last Revised: 22 Aug 2018
Phillip Li, Xiaofei Zhang and Xinlei Shelly Zhao
Federal Deposit Insurance Corporation, 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 Currency Comptroller - Risk Analysis Division
Downloads 76 (312,517)

Abstract:

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loss given default, bi-modal distribution, simulation, predicted distribution, stress testing

2.

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