{"id":"https://openalex.org/W1994927285","doi":"https://doi.org/10.1016/j.ijforecast.2013.03.003","title":"A zero-adjusted gamma model for mortgage loan loss given default","display_name":"A zero-adjusted gamma model for mortgage loan loss given default","publication_year":2013,"publication_date":"2013-07-27","ids":{"openalex":"https://openalex.org/W1994927285","doi":"https://doi.org/10.1016/j.ijforecast.2013.03.003","mag":"1994927285"},"language":"en","primary_location":{"id":"doi:10.1016/j.ijforecast.2013.03.003","doi":"https://doi.org/10.1016/j.ijforecast.2013.03.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ijforecast.2013.03.003","pdf_url":"https://www.sciencedirect.com/science/article/pii/S0169207013000447/pdf","source":{"id":"https://openalex.org/S39841227","display_name":"International Journal of Forecasting","issn_l":"0169-2070","issn":["0169-2070","1872-8200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Forecasting","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.sciencedirect.com/science/article/pii/S0169207013000447/pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083374758","display_name":"Edward N.C. Tong","orcid":"https://orcid.org/0000-0001-5631-9529","observed_orcids":["https://orcid.org/0000-0001-5631-9529"]},"institutions":[{"id":"https://openalex.org/I43439940","display_name":"University of Southampton","ror":"https://ror.org/01ryk1543","country_code":"GB","type":"education","lineage":["https://openalex.org/I43439940"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Edward N.C. Tong","raw_affiliation_strings":["University of Southampton - Southampton Management School, Southampton, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Southampton - Southampton Management School, Southampton, United Kingdom","institution_ids":["https://openalex.org/I43439940"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5060698272","display_name":"Christophe Mues","orcid":"https://orcid.org/0000-0002-6289-5490","observed_orcids":["https://orcid.org/0000-0002-6289-5490"]},"institutions":[{"id":"https://openalex.org/I43439940","display_name":"University of Southampton","ror":"https://ror.org/01ryk1543","country_code":"GB","type":"education","lineage":["https://openalex.org/I43439940"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Christophe Mues","raw_affiliation_strings":["University of Southampton - Southampton Management School, Southampton, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Southampton - Southampton Management School, Southampton, United Kingdom","institution_ids":["https://openalex.org/I43439940"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008990681","display_name":"Lyn C. Thomas","orcid":"https://orcid.org/0000-0002-3727-4772","observed_orcids":["https://orcid.org/0000-0002-3727-4772"]},"institutions":[{"id":"https://openalex.org/I43439940","display_name":"University of Southampton","ror":"https://ror.org/01ryk1543","country_code":"GB","type":"education","lineage":["https://openalex.org/I43439940"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Lyn Thomas","raw_affiliation_strings":["University of Southampton - Southampton Management School, Southampton, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Southampton - Southampton Management School, Southampton, United Kingdom","institution_ids":["https://openalex.org/I43439940"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5083374758"],"corresponding_institution_ids":["https://openalex.org/I43439940"],"apc_list":{"value":2800,"currency":"USD","value_usd":2800},"apc_paid":{"value":2800,"currency":"USD","value_usd":2800},"fwci":5.5058,"has_fulltext":true,"cited_by_count":79,"citation_normalized_percentile":{"value":0.95354523,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"29","issue":"4","first_page":"548","last_page":"562"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.7271000146865845,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.7271000146865845,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.06809999793767929,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.033399999141693115,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/loss-given-default","display_name":"loss given default","score":0.9919999837875366},{"id":"https://openalex.org/keywords/mortgage","display_name":"mortgage lending","score":0.8479999899864197},{"id":"https://openalex.org/keywords/probability-of-default","display_name":"probability of default","score":0.7059999704360962},{"id":"https://openalex.org/keywords/bank-credit-risk","display_name":"bank credit risk","score":0.4970000088214874}],"concepts":[{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.9100934863090515},{"id":"https://openalex.org/C133930124","wikidata":"https://www.wikidata.org/wiki/Q1460730","display_name":"Loss given default","level":4,"score":0.902470588684082},{"id":"https://openalex.org/C2777764128","wikidata":"https://www.wikidata.org/wiki/Q189539","display_name":"Loan","level":2,"score":0.7143241167068481},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5964574813842773},{"id":"https://openalex.org/C2779806880","wikidata":"https://www.wikidata.org/wiki/Q778470","display_name":"Probability of default","level":3,"score":0.5622694492340088},{"id":"https://openalex.org/C2780759654","wikidata":"https://www.wikidata.org/wiki/Q809934","display_name":"Basel II","level":4,"score":0.500145435333252},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.47711995244026184},{"id":"https://openalex.org/C71387314","wikidata":"https://www.wikidata.org/wiki/Q494128","display_name":"Non-performing loan","level":3,"score":0.4665740728378296},{"id":"https://openalex.org/C2780813799","wikidata":"https://www.wikidata.org/wiki/Q3274237","display_name":"Zero (linguistics)","level":2,"score":0.4483007788658142},{"id":"https://openalex.org/C2992893599","wikidata":"https://www.wikidata.org/wiki/Q1210094","display_name":"Mortgage loan","level":3,"score":0.41203057765960693},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4113621115684509},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.35583260655403137},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.32358318567276},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.26670777797698975},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.07661682367324829},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.ijforecast.2013.03.003","doi":"https://doi.org/10.1016/j.ijforecast.2013.03.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ijforecast.2013.03.003","pdf_url":"https://www.sciencedirect.com/science/article/pii/S0169207013000447/pdf","source":{"id":"https://openalex.org/S39841227","display_name":"International Journal of Forecasting","issn_l":"0169-2070","issn":["0169-2070","1872-8200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Forecasting","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:intfor:v:29:y:2013:i:4:p:548-562","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0169207013000447","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:eprints.soton.ac.uk:349820","doi":null,"is_oa":true,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0169207013000447","pdf_url":null,"source":{"id":"https://openalex.org/S4306401019","display_name":"ePrints Soton (University of Southampton)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I43439940","host_organization_name":"University of Southampton","host_organization_lineage":["https://openalex.org/I43439940"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"doi:10.1016/j.ijforecast.2013.03.003","doi":"https://doi.org/10.1016/j.ijforecast.2013.03.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ijforecast.2013.03.003","pdf_url":"https://www.sciencedirect.com/science/article/pii/S0169207013000447/pdf","source":{"id":"https://openalex.org/S39841227","display_name":"International Journal of Forecasting","issn_l":"0169-2070","issn":["0169-2070","1872-8200"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Forecasting","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320328785","display_name":"Management and Science University","ror":"https://ror.org/027zr9y17"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1994927285.pdf","grobid_xml":"https://content.openalex.org/works/W1994927285.grobid-xml"},"referenced_works_count":38,"referenced_works":["https://openalex.org/W949293872","https://openalex.org/W1507444366","https://openalex.org/W1528905581","https://openalex.org/W1536002191","https://openalex.org/W1554944419","https://openalex.org/W1968831178","https://openalex.org/W1982120517","https://openalex.org/W1989374460","https://openalex.org/W1990420052","https://openalex.org/W1995494078","https://openalex.org/W1997503847","https://openalex.org/W1998200917","https://openalex.org/W2018730525","https://openalex.org/W2040415980","https://openalex.org/W2043077358","https://openalex.org/W2064799866","https://openalex.org/W2074463640","https://openalex.org/W2077372486","https://openalex.org/W2102236934","https://openalex.org/W2111220553","https://openalex.org/W2115709314","https://openalex.org/W2126147689","https://openalex.org/W2137959503","https://openalex.org/W2142282274","https://openalex.org/W2142635246","https://openalex.org/W2150182805","https://openalex.org/W2154065358","https://openalex.org/W2154230830","https://openalex.org/W2171033594","https://openalex.org/W2313339984","https://openalex.org/W2529565217","https://openalex.org/W2797583072","https://openalex.org/W2801490189","https://openalex.org/W2911964244","https://openalex.org/W2963533009","https://openalex.org/W3112717819","https://openalex.org/W3175417087","https://openalex.org/W4249303080"],"related_works":["https://openalex.org/W2417818002","https://openalex.org/W146201847","https://openalex.org/W3011816044","https://openalex.org/W2031339922","https://openalex.org/W2942670250","https://openalex.org/W2811094410","https://openalex.org/W4206571706","https://openalex.org/W581330862","https://openalex.org/W7120505672","https://openalex.org/W2074463640"],"abstract_inverted_index":{"The":[0,115,134],"Internal":[1],"Ratings":[2],"Based":[3],"(IRB)":[4],"approach":[5,95,135,169],"introduced":[6],"in":[7,41,58,67],"the":[8,19,25,31,34,42,55,64,76,104,118,125],"Basel":[9],"II":[10],"Accord":[11],"requires":[12],"financial":[13],"institutions":[14],"to":[15,75,138,152,163,170],"estimate":[16],"not":[17],"just":[18],"probability":[20,119],"of":[21,33,44,54,78,88,120,142],"default,":[22],"but":[23],"also":[24],"Loss":[26],"Given":[27],"Default":[28],"(LGD),":[29],"i.e.,":[30],"proportion":[32],"outstanding":[35],"loan":[36,112],"that":[37,129],"will":[38],"be":[39],"lost":[40],"event":[43],"a":[45,99,110,121,130,139,147],"default.":[46],"However,":[47],"modelling":[48,79],"LGD":[49,66,171],"poses":[50],"substantial":[51],"challenges.":[52],"One":[53],"key":[56],"problems":[57],"building":[59],"regression":[60],"models":[61],"for":[62,103],"estimating":[63],"loan-level":[65],"retail":[68],"portfolios":[69],"such":[70],"as":[71,82],"mortgage":[72],"loans":[73],"relates":[74],"difficulty":[77],"their":[80],"distributions,":[81],"they":[83],"typically":[84],"contain":[85],"extensive":[86],"numbers":[87],"zeroes.":[89],"In":[90],"this":[91],"paper,":[92],"an":[93,165],"alternative":[94,166],"is":[96,113,136,161],"proposed":[97],"where":[98],"mixed":[100],"discrete-continuous":[101],"model":[102,116,160],"total":[105],"loss":[106,123,126,131],"amount":[107,127],"incurred":[108],"on":[109],"defaulted":[111,143],"developed.":[114],"accommodates":[117],"zero":[122],"and":[124,150,167],"given":[128],"occurs":[132],"simultaneously.":[133],"applied":[137],"large":[140],"dataset":[141],"home":[144],"mortgages":[145],"from":[146],"UK":[148],"bank":[149],"compared":[151],"two":[153],"well-known":[154],"industry":[155],"approaches.":[156],"Our":[157],"zero-adjusted":[158],"gamma":[159],"shown":[162],"present":[164],"competitive":[168],"modelling.":[172]},"counts_by_year":[{"year":2026,"cited_by_count":9},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":14},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}
