Abstract:The need to model proportional data is common in a range of disciplines however, due to its bimodal nature, U- or J-shaped data present a particular challenge. In this study, two parsimonious mixture models are proposed to accurately characterise this proportional U- and J-shaped data. The proposed models are applied to loss given default data, an application area where specific importance is attached to the accuracy with which the mean is estimated, due to its linear relationship with a bank’s regulatory capi… Show more
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