Modeling LGD with Proportional Odds Model
R-bloggers 2018-01-28
Summary:
The LGD model is an important component in the expected loss calculation. In https://statcompute.wordpress.com/2015/11/01/quasi-binomial-model-in-sas, I discussed how to model LGD with the quasi-binomial regression that is simple and makes no distributional assumption. In the real-world LGD data, we usually would observe 3 ordered categories of values, including 0, 1, and in-betweens. In cases with a […]