Phillip Li
Office of the Comptroller of the Currency
Phillip Li is a Senior Quantitative Risk Specialist in the Division of Complex Institution Supervision and Resolution at the Federal Deposit Insurance Corporation. Dr. Li's current research interests include credit risk modeling, risk measurement, econometrics, and machine learning. He holds a doctorate in economics and a master's degree in statistics from University of California, Irvine and an undergraduate degree in economics from University of California, Berkeley.
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Articles by Phillip Li
Modeling loss given default regressions
The authors investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework.
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).