Modelling spatial dependence for Loss Given Default in peer-to-peer lending

作者：

Highlights：

• We suggest a flexible two-stage Loss Given Default model with spatial effects.

• Spatial effects improve the predictive accuracy of the Loss Given Default model.

• The proposed approach provides more conservative estimates of the expected shortfall.

摘要

•We suggest a flexible two-stage Loss Given Default model with spatial effects.•Spatial effects improve the predictive accuracy of the Loss Given Default model.•The proposed approach provides more conservative estimates of the expected shortfall.

论文关键词：Loss Given Default,Two-stage approach,Peer-to-peer lending,Spatial effects

论文评审过程：Received 1 February 2021, Revised 25 September 2021, Accepted 23 November 2021, Available online 18 December 2021, Version of Record 22 December 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.116295