Modelling credit card exposure at default using vine copula quantile regression

Suttisak Wattanawongwan, Christophe Mues, Ramin Okhrati, Taufiq Choudhry, Mee Chi So

Abstract: Highlights•We use vine copula-based quantile regression to produce EAD quantile estimates.•Our vine copulas effectively model complex dependencies among the predictors for EAD.•We provide insights into how the predictor effects vary per EAD quantile.•The proposed model outperforms a linear quantile model on real-life credit card data.