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Moffatt, 2005 - Google Patents

Hurdle models of loan default

Moffatt, 2005

Document ID
13895714775664270644
Author
Moffatt P
Publication year
Publication venue
Journal of the operational research society

External Links

Snippet

Some models of loan default are binary, simply modelling the probability of default, while others go further and model the extent of default (eg number of outstanding payments; amount of arrears). The double-hurdle model, originally due to Cragg (Econometrica, 1971) …
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